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10

ICNC
2005
Springer

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On the Role of Risk Preference in Survivability

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On the Role of Risk Preference in Survivability

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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.

Shu-Heng Chen, Ya-Chi Huang

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Added	27 Jun 2010
Updated	27 Jun 2010
Type	Conference
Year	2005
Where	ICNC
Authors	Shu-Heng Chen, Ya-Chi Huang

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