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Wealth-driven competition in a speculative financial market: Examples with maximizing agents

Anufriev, Mikhail - 2005

common to all types of the CRRA-investment behavior and those which are specific for the linear investment functions. …

Persistent link: https://www.econbiz.de/10010328419

Wealth-Driven Competition in a Speculative Financial Market: Examples with Maximizing Agents

Anufriev, Mikhail - Laboratory of Economics and Management (LEM), Scuola … - 2005

common to all types of the CRRA-investment behavior and those which are specific for the linear investment functions. … the CRRA-investment behavior and those which are speci c for the linear investment functions. JEL codes: C62, D84, G12 …-Variance Optimization, Linear Investment Functions. Tel.: +31-20-5254248; fax: +31-20-5254349; e-mail: M.Anufriev@uva.nl. This paper is …

Persistent link: https://www.econbiz.de/10005292650

Wealth-driven competition in a speculative financial market: examples with maximizing agents

Anufriev, Mikhail - In: Quantitative Finance 8 (2008) 4, pp. 363-380

highlights the features that are specific to linear investment functions. As a consequence, some previous contributions of the …

Persistent link: https://www.econbiz.de/10005141329