IJPAM: Volume 76, No. 5 (2012)
HETEROGENEOUS AGENTS: THE WEALTH DYNAMICS
Università Politecnica delle Marche
Università di Macerata
Abstract. We develop an adaptive model which characterizes the evolution of wealth distribution when agents switch between different trading strategies. The wealth of each group is updated not only as a consequence of portfolio growth of agents adopting the relative strategy, but also due to the flow of agents coming from the other group. This switching mechanism is investigated in a Walrasian scenario and under a growing dividend process. A stationary dynamic model is obtained in terms of excess return, wealth and agent proportions, able to explain wealth distribution among agents in the long run.
Received: October 1, 2011
AMS Subject Classification: 39A28, 39A30, 39A33, 39A60
Key Words and Phrases: asset pricing, wealth dynamics, switching mechanisms, long run dynamics, trapping sets
Download paper from here.
Source: International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395