English, Article, Journal or magazine article edition: Evolution of Wealth and Asset Prices in Markets with Case-Based Investors Guerdjikova, Ani

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Bookmark: http://trove.nla.gov.au/version/43441
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Evolution of Wealth and Asset Prices in Markets with Case-Based Investors
Author
  • Guerdjikova, Ani
Physical Description
  • preprint
Notes
  • I analyze whether case-based decision makers (CBDM) can survive in an assetmarket in the presence of expected utilitymaximizers. Conditions are identified, under which the CBDM retain a positive mass with probability one. CBDM can cause predictability of asset returns, high volatility and bubbles. It is found that the expected utility maximizers can disappear from the market for a finite period of time, if the mispricing of the risky asset caused by the case-based decision-makers aggravates too much. Only in the case of logarithmic expected utility maximizers do the case-based decision makers disappear from the market for all parameter values.
  • RePEc:xrs:sfbmaa:04-49
Language
  • English
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