The Long-Run Behavior of Consumption and Wealth Dynamics in Complete Financial Market with Heterogeneous Investors
Author
Abstract
Suggested Citation
DOI: 10.1155/2014/482314
Download full text from publisher
References listed on IDEAS
- Duffie, Darrell & Zame, William, 1989.
"The Consumption-Based Capital Asset Pricing Model,"
Econometrica, Econometric Society, vol. 57(6), pages 1279-1297, November.
- Darrell Duffie & William Zame, 1988. "The Consumption-Based Capital Asset Pricing Model," Discussion Papers 88-10, University of Copenhagen. Department of Economics.
- Yano, Makoto, 1985. "Competitive Equilibria on Turnpikes in a McKenzie Economy, II: An Asymptotic Turnpike Theorem," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(3), pages 661-669, October.
- C. Chiarella & X-Z. He, 2001.
"Asset price and wealth dynamics under heterogeneous expectations,"
Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 509-526.
- Carl Chiarella & Xue-Zhong He, 2001. "Asset Price and Wealth Dynamics Under Heterogeneous Expectations," Research Paper Series 56, Quantitative Finance Research Centre, University of Technology, Sydney.
- Xue-Zhong (Tony) He & Carl Chiarella, 2001. "Asset Price and Wealth Dynamics under Heterogeneous Expectations," CeNDEF Workshop Papers, January 2001 5A.2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Basak, Suleyman & Croitoru, Benjamin, 2000.
"Equilibrium Mispricing in a Capital Market with Portfolio Constraints,"
The Review of Financial Studies, Society for Financial Studies, vol. 13(3), pages 715-748.
- Suleyman Basak & Benjamin Croitoru, "undated". "Equilibrium Mispricing in a Capital Market with Portfolio Constraints," Rodney L. White Center for Financial Research Working Papers 17-99, Wharton School Rodney L. White Center for Financial Research.
- Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2012.
"Rare Disasters and Risk Sharing with Heterogeneous Beliefs,"
The Review of Financial Studies, Society for Financial Studies, vol. 25(7), pages 2189-2224.
- Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2010. "Rare Disasters and Risk Sharing with Heterogeneous Beliefs," NBER Working Papers 16035, National Bureau of Economic Research, Inc.
- Leonid Kogan & Stephen A. Ross & Jiang Wang & Mark M. Westerfield, 2006.
"The Price Impact and Survival of Irrational Traders,"
Journal of Finance, American Finance Association, vol. 61(1), pages 195-229, February.
- Kogan, Leonid & Ross, Stephen & Wang, Jiang & Westerfield, Mark, 2003. "The Price Impact and Survival of Irrational Traders," Working papers 4293-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Leonid Kogan & Stephan Ross & Jiang Wang & Mark Westerfield, 2004. "Price Impact and Survival of Irrational Traders," FAME Research Paper Series rp116, International Center for Financial Asset Management and Engineering.
- Leonid Kogan & Stephen Ross, 2004. "The Price Impact and Survival of Irrational Traders," 2004 Meeting Papers 35, Society for Economic Dynamics.
- Leonid Kogan & Stephen Ross & Jiang Wang & Mark Westerfield, 2003. "The Price Impact and Survival of Irrational Traders," NBER Working Papers 9434, National Bureau of Economic Research, Inc.
- Hongjun Yan, 2008.
"Natural Selection in Financial Markets: Does It Work?,"
Management Science, INFORMS, vol. 54(11), pages 1935-1950, November.
- Hongjun Yan, 2008. "Natural Selection in Financial Markets: Does it Work?," Yale School of Management Working Papers amz2648, Yale School of Management, revised 01 May 2008.
- Mikhail Anufriev, 2008.
"Wealth-driven competition in a speculative financial market: examples with maximizing agents,"
Quantitative Finance, Taylor & Francis Journals, vol. 8(4), pages 363-380.
- Anufriev, M., 2005. "Wealth-Driven Competition in a Speculative Financial Market: Examples With Maximizing Agents," CeNDEF Working Papers 05-17, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Mikhail Anufriev, 2005. "Wealth-Driven Competition in a Speculative Financial Market: Examples with Maximizing Agents," LEM Papers Series 2005/27, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Ross, Stephen A., 1974.
"Portfolio turnpike theorems for constant policies,"
Journal of Financial Economics, Elsevier, vol. 1(2), pages 171-198, July.
- Stephen A. Ross, "undated". "Portfolio Turnpike Theorems for Constant Policies," Rodney L. White Center for Financial Research Working Papers 20-73, Wharton School Rodney L. White Center for Financial Research.
- Lawrence Blume & David Easley, 2006.
"If You're so Smart, why Aren't You Rich? Belief Selection in Complete and Incomplete Markets,"
Econometrica, Econometric Society, vol. 74(4), pages 929-966, July.
- Lawrence Blume & David Easley, 2001. "If You're So Smart, Why Aren't You Rich? Belief Selection in Complete and Incomplete Markets," Working Papers 01-06-031, Santa Fe Institute.
- Larry Blume & David Easley, 2001. "If You're So Smart, Why Aren't You Rich? Belief Selection in Complete and Incomplete Markets," Cowles Foundation Discussion Papers 1319, Cowles Foundation for Research in Economics, Yale University.
- George J. Mailath & Alvaro Sandroni, 2003.
"Market Selection and Asymmetric Information,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 70(2), pages 343-368.
- George J. Mailath & Alvaro Sandroni, "undated". "Market Selection and Asymmetrick Information," CARESS Working Papres 00-07, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
- George J. Mailath & Alvaro Sandroni, 2000. "Market Selection and Asymmetric Information," CARESS Working Papres mkt-selection, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
- George J. Mailath & Alvaro Sroni, "undated". "Market Selection and Asymmetric Information," Penn CARESS Working Papers d50f0ddbbf9f79b6e05bb90a5, Penn Economics Department.
- Alvaro Sandroni, 2000. "Do Markets Favor Agents Able to Make Accurate Predicitions?," Econometrica, Econometric Society, vol. 68(6), pages 1303-1342, November.
- Hakansson, Nils H., 1974. "Convergence to isoelastic utility and policy in multiperiod portfolio choice," Journal of Financial Economics, Elsevier, vol. 1(3), pages 201-224, September.
- McKenzie, Lionel W., 1983. "Turnpike theory, discounted utility, and the von Neumann facet," Journal of Economic Theory, Elsevier, vol. 30(2), pages 330-352, August.
- Anufriev, Mikhail & Dindo, Pietro, 2010.
"Wealth-driven selection in a financial market with heterogeneous agents,"
Journal of Economic Behavior & Organization, Elsevier, vol. 73(3), pages 327-358, March.
- Mikhail Anufriev & Pietro Dindo, 2007. "Wealth-driven Selection in a Financial Market with Heterogeneous Agents," LEM Papers Series 2007/27, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Mikhail Anufriev & Pietro Dindo, 2009. "Wealth-driven Selection in a Financial Market with Heterogeneous Agents," Post-Print hal-00763494, HAL.
- Luo, Guo Ying, 1998. "Market Efficiency and Natural Selection in a Commodity Futures Market," The Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 647-674.
- Hongjun Yan, 2008.
"Natural Selection in Financial Markets: Does It Work?,"
Management Science, INFORMS, vol. 54(11), pages 1935-1950, November.
- Hongjun Yan, 2008. "Natural Selection in Financial Markets: Does it Work?," Yale School of Management Working Papers amz2648, Yale School of Management, revised 01 May 2008.
- Atsumasa Kondo, 2008. "On The Inefficacy Of Temporary Policy In A Dynamic General Equilibrium With Money," The Japanese Economic Review, Japanese Economic Association, vol. 59(3), pages 324-344, September.
- Felix Kubler & Karl Schmedders, 2003.
"Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral,"
Econometrica, Econometric Society, vol. 71(6), pages 1767-1793, November.
- Felix Kubler & Karl Schmedders, 2001. "Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral," Discussion Papers 1319, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Huberman, Gur & Ross, Stephen, 1983. "Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Functions," Econometrica, Econometric Society, vol. 51(5), pages 1345-1361, September.
- Alexandre Scheinkman, Jose, 1976. "On optimal steady states of n-sector growth models when utility is discounted," Journal of Economic Theory, Elsevier, vol. 12(1), pages 11-30, February.
- Jiang, Wang, 1996. "The term structure of interest rates in a pure exchange economy with heterogeneous investors," Journal of Financial Economics, Elsevier, vol. 41(1), pages 75-110, May.
- Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2006.
"Asset price and wealth dynamics in a financial market with heterogeneous agents,"
Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1755-1786.
- Carl Chiarella & Roberto Dieci, 2004. "Asset price and wealth dynamics in a financial market with heterogeneous agents," Computing in Economics and Finance 2004 261, Society for Computational Economics.
- Carl Chiarella & Roberto Dieci & Laura Gardini, 2004. "Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents," Research Paper Series 134, Quantitative Finance Research Centre, University of Technology, Sydney.
- Li, Tao, 2007. "Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy," Journal of Economic Dynamics and Control, Elsevier, vol. 31(5), pages 1697-1727, May.
- Makoto Yano, 1999. "Stability and Turnpike Theorems in Dynamic Competitive Equilibrium," The Japanese Economic Review, Japanese Economic Association, vol. 50(4), pages 398-421, December.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-384, March.
- Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
- Yano, Makoto, 1984. "Competitive Equilibria on Turnpikes in a McKenzie Economy, I: A Neighborhood Turnpike Theorem," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(3), pages 695-717, October.
- Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
- Bewley, Truman, 1982. "An integration of equilibrium theory and turnpike theory," Journal of Mathematical Economics, Elsevier, vol. 10(2-3), pages 233-267, September.
- Epstein, Larry G & Wang, Tan, 1994. "Intertemporal Asset Pricing Under Knightian Uncertainty," Econometrica, Econometric Society, vol. 62(2), pages 283-322, March.
- Blume, Lawrence & Easley, David, 1992. "Evolution and market behavior," Journal of Economic Theory, Elsevier, vol. 58(1), pages 9-40, October.
- Yano, Makoto, 1984.
"The turnpike of dynamic general equilibrium paths and its insensitivity to initial conditions,"
Journal of Mathematical Economics, Elsevier, vol. 13(3), pages 235-254, December.
- M. Yano, 2010. "The Turnpike of Dynamic General Equilibrium Paths and its Insensitivity to Initial Conditions," Levine's Working Paper Archive 1394, David K. Levine.
- Jin, Xing, 1998. "Consumption and portfolio turnpike theorems in a continuous-time finance model1," Journal of Economic Dynamics and Control, Elsevier, vol. 22(7), pages 1001-1026, May.
- Darong Dai, 2012. "Stochastic Versions of Turnpike Theorems in the Sense of Uniform Topology," Annals of Economics and Finance, Society for AEF, vol. 13(2), pages 381-423, November.
- MOSSIN, Jan, 1968. "Optimal multiperiod portfolio policies," LIDAM Reprints CORE 19, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Makoto Yano, 1998. "On the Dual Stability of a von Neumann Facet and the Inefficacy of Temporary Fiscal Policy," Econometrica, Econometric Society, vol. 66(2), pages 427-452, March.
- D. G. Champernowne, 1962. "Some Implications of Golden Age Conditions when Savings Equal Profits," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 29(3), pages 235-237.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Darong Dai, 2013. "Wealth Martingale and Neighborhood Turnpike Property In Dynamically Complete Market With Heterogeneous Investors," Economic Research Guardian, Mutascu Publishing, vol. 3(2), pages 86-110, December.
- Dai, Darong, 2011. "Wealth Martingale and Neighborhood Turnpike Property in Dynamically Complete Market with Heterogeneous Investors," MPRA Paper 46416, University Library of Munich, Germany.
- Panageas, Stavros, 2020.
"The Implications of Heterogeneity and Inequality for Asset Pricing,"
Foundations and Trends(R) in Finance, now publishers, vol. 12(3), pages 199-275, November.
- Stavros Panageas, 2020. "The Implications of Heterogeneity and Inequality for Asset Pricing," NBER Working Papers 26974, National Bureau of Economic Research, Inc.
- Hirshleifer, David & Lo, Andrew W. & Zhang, Ruixun, 2023. "Social contagion and the survival of diverse investment styles," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
- Zeckhauser, Richard Jay & Tran, Ngoc-Khanh, 2011.
"The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous,"
Scholarly Articles
5027955, Harvard Kennedy School of Government.
- Ngoc-Khanh Tran & Richard J. Zeckhauser, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," NBER Working Papers 17199, National Bureau of Economic Research, Inc.
- Tran, Ngoc-Khanh & Zeckhauser, Richard, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," Working Papers 11-44, University of Pennsylvania, Wharton School, Weiss Center.
- Tran, Ngoc-Khanh & Zeckhauser, Richard J., 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs Are Heterogeneous," Working Paper Series rwp11-026, Harvard University, John F. Kennedy School of Government.
- Daniele Giachini, 2018. "Rationality and Asset Prices under Belief Heterogeneity," LEM Papers Series 2018/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Hongjun Yan, 2008.
"Natural Selection in Financial Markets: Does It Work?,"
Management Science, INFORMS, vol. 54(11), pages 1935-1950, November.
- Hongjun Yan, 2008. "Natural Selection in Financial Markets: Does it Work?," Yale School of Management Working Papers amz2648, Yale School of Management, revised 01 May 2008.
- Dindo, Pietro, 2019.
"Survival in speculative markets,"
Journal of Economic Theory, Elsevier, vol. 181(C), pages 1-43.
- Pietro Dindo, 2015. "Survival in Speculative Markets," LEM Papers Series 2015/32, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Easley, David & Yang, Liyan, 2015. "Loss aversion, survival and asset prices," Journal of Economic Theory, Elsevier, vol. 160(C), pages 494-516.
- Dai, Darong, 2011. "Modeling the minimum time needed to economic maturity," MPRA Paper 40583, University Library of Munich, Germany, revised 08 Aug 2012.
- Hongjun Yan, 2008.
"Natural Selection in Financial Markets: Does It Work?,"
Management Science, INFORMS, vol. 54(11), pages 1935-1950, November.
- Hongjun Yan, 2008. "Natural Selection in Financial Markets: Does it Work?," Yale School of Management Working Papers amz2648, Yale School of Management, revised 01 May 2008.
- Atsumasa Kondo, 2008. "On The Inefficacy Of Temporary Policy In A Dynamic General Equilibrium With Money," The Japanese Economic Review, Japanese Economic Association, vol. 59(3), pages 324-344, September.
- Wei Xiong & Hongjun Yan, 2010.
"Heterogeneous Expectations and Bond Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1433-1466, April.
- Wei Xiong & Hongjun Yan, 2006. "Heterogeneous Expectations and Bond Markets," NBER Working Papers 12781, National Bureau of Economic Research, Inc.
- Wei Xiong & Hongjun Yan & Review Financial, 2007. "Heterogeneous Expectations and Bond Markets," Yale School of Management Working Papers amz2614, Yale School of Management, revised 01 Jun 2009.
- Dai, Darong, 2012. "A Robust Turnpike Deduced by Economic Maturity," MPRA Paper 48818, University Library of Munich, Germany.
- Andrew W. Lo & H. Allen Orr & Ruixun Zhang, 2018. "The growth of relative wealth and the Kelly criterion," Journal of Bioeconomics, Springer, vol. 20(1), pages 49-67, April.
- Anufriev, M. & Dindo, P.D.E., 2007. "Wealth Selection in a Financial Market with Heterogeneous Agents," CeNDEF Working Papers 07-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Kogan, Leonid & Ross, Stephen A. & Wang, Jiang & Westerfield, Mark M., 2017.
"Market selection,"
Journal of Economic Theory, Elsevier, vol. 168(C), pages 209-236.
- Stephen Ross & Mark Westerfield & Jiang Wang & Leonid Kogan, 2009. "Market Selection," 2009 Meeting Papers 274, Society for Economic Dynamics.
- Leonid Kogan & Stephen Ross & Jiang Wang & Mark M. Westerfield, 2009. "Market Selection," NBER Working Papers 15189, National Bureau of Economic Research, Inc.
- Massari, Filippo, 2019. "Market selection in large economies: a matter of luck," Theoretical Economics, Econometric Society, vol. 14(2), May.
- Anufriev, Mikhail & Dindo, Pietro, 2010.
"Wealth-driven selection in a financial market with heterogeneous agents,"
Journal of Economic Behavior & Organization, Elsevier, vol. 73(3), pages 327-358, March.
- Mikhail Anufriev & Pietro Dindo, 2007. "Wealth-driven Selection in a Financial Market with Heterogeneous Agents," LEM Papers Series 2007/27, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Mikhail Anufriev & Pietro Dindo, 2009. "Wealth-driven Selection in a Financial Market with Heterogeneous Agents," Post-Print hal-00763494, HAL.
- Jensen, Martin Kaae, 2012. "Global stability and the “turnpike” in optimal unbounded growth models," Journal of Economic Theory, Elsevier, vol. 147(2), pages 802-832.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:jnljam:482314. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.