Risk Preference and Survival Dynamics

机译：风险偏好和生存动态

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Using an agent-based multi-asset artificial stock market, we simulate the survival dynamics of investors with different risk preferences. It is found that the survivability of investors is closely related to their risk preferences. Among the eight types of investors considered in this paper, only the CRRA investors with RRA coefficients close to one can survive in the long run. Other types of agents are eventually driven out of the market, including the famous CARA agents and agents who base their decision on the capital asset pricing model.

机译：使用基于代理的多资产人工股票市场，我们模拟了具有不同风险偏好的投资者的生存动态。研究发现，投资者的生存能力与其风险偏好密切相关。在本文考虑的八种类型的投资者中，只有RRA系数接近一个的CRRA投资者才能长期生存。最终，其他类型的代理商也被赶出市场，包括著名的CARA代理商和将其决策基于资本资产定价模型的代理商。

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来源
《International Workshop on Agent-Based Approaches in Economic and Social Complex Systems 2004(AESCS'04); 20040527-29; Kyoto University(JP)》|2004年|135-143|共9页
会议地点 Kyoto University(JP)
作者
Shu-Heng Chen; Ya-Chi Huang;
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作者单位

AI-ECON Research Center Department of Economics National Chengchi University Taipei, Taiwan;

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会议组织
原文格式 PDF
正文语种 eng
中图分类经济学基本问题;
关键词
market selection hypothesis; agent-based artificial stock markets; autonomous agents; genetic algorithms;

机译：市场选择假设；基于代理商的人工股票市场；自治代理；遗传算法;

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Risk Preference and Survival Dynamics

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