Abstract
In this paper we use the optimization models developed by D’Ecclesia and Zenios (1996), which extend Frankel’s (1985) earlier mod els to analyze financial asset demand for the Italian market. We relax the assumption of normality of asset returns and assume that investors maximize an expected utility of their terminal wealth based on heterogeneous attitude toward risk. Solving a bi-level optimization program we endogenously esti mate the risk aversion parameters and derive the optimal market composition for each agent. The optimization models are applied to Italian market data over the 1987–94 period.
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© 1997 Springer-Verlag Berlin Heidelberg
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D’Ecclesia, R.L., Zenios, S.A. (1997). Demand for Assets by Heterogeneous Agents in the Italian Markets. In: Zopounidis, C. (eds) New Operational Approaches for Financial Modelling. Contributions to Management Science. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-59270-6_5
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DOI: https://doi.org/10.1007/978-3-642-59270-6_5
Publisher Name: Physica, Heidelberg
Print ISBN: 978-3-7908-1043-1
Online ISBN: 978-3-642-59270-6
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