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Risk Preference and Survival Dynamics

  • Shu-Heng Chen
  • Ya-Chi Huang
Part of the Agent-Based Social Systems book series (ABSS, volume 1)

Summary

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.

Key words

Market selection hypothesis Agent-based artificial stock markets Autonomous agents Genetic algorithms 

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Copyright information

© Springer-Verlag Tokyo 2005

Authors and Affiliations

  • Shu-Heng Chen
    • 1
  • Ya-Chi Huang
    • 1
  1. 1.AI-ECON Research Center, Department of EconomicsNational Chengchi UniversityTaipeiTaiwan

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