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Risk Preference and Survival Dynamics

  • Conference paper
Agent-Based Simulation: From Modeling Methodologies to Real-World Applications

Part of the book series: Agent-Based Social Systems ((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.

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Author information

Authors and Affiliations

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

    Shu-Heng Chen & Ya-Chi Huang

Authors
  1. Shu-Heng Chen
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  2. Ya-Chi Huang
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Editor information

Editors and Affiliations

  1. Interdisciplinary Graduate School of Science and Engineering, Tokyo Institute of Technology, 4259 Nagatsuta-cho, Midori-ku, Yokohama, 226-8502, Japan

    Takao Terano Ph.D. (Professor) & Hiroshi Deguchi Ph.D. (Professor) (Professor) &  (Professor)

  2. Academic Center for Computing and Media Studies, Kyoto University, Yoshida-Nihonmatsu-cho, Sakyo-ku, Kyoto, 606-8501, Japan

    Hajime Kita Dr. Eng. (Professor) (Professor)

  3. Graduate School of Engineering, Nagoya Institute of Technology, Gokiso, Showa-ku, Nagoya, 466-8555, Japan

    Toshiyuki Kaneda Dr.Eng. (Associate Professor) (Associate Professor)

  4. Faculty of Social Systems Science, Chiba Institute of Technology, 2-17-1 Tsudanuma, Narashino, Chiba, 275-0016, Japan

    Kiyoshi Arai Dr. Eng. (Professor) (Professor)

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© 2005 Springer-Verlag Tokyo

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Chen, SH., Huang, YC. (2005). Risk Preference and Survival Dynamics. In: Terano, T., Kita, H., Kaneda, T., Arai, K., Deguchi, H. (eds) Agent-Based Simulation: From Modeling Methodologies to Real-World Applications. Agent-Based Social Systems, vol 1. Springer, Tokyo. https://doi.org/10.1007/4-431-26925-8_13

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