Procedural rationality, asset heterogeneity and market selection

DOI10.1016/J.JMATECO.2019.02.001zbMath1417.91445OpenAlexW2605946396MaRDI QIDQ2425148

Bertrand Tavin, Guillaume Coqueret

Publication date: 26 June 2019

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2019.02.001

zbMATH Keywords

stability analysisheterogeneous agentsprocedural rationalitymarket selectiondeterministic skeletonmulti-asset framework

Mathematics Subject Classification ID

Portfolio theory (91G10) Heterogeneous agent models (91B69)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Excess covariance and dynamic instability in a multi-asset model
• Asset market games of survival: a synthesis of evolutionary and dynamic games
• An evolutionary CAPM under heterogeneous beliefs
• Market selection
• Evolutionary dynamics in markets with many trader types
• Evolutionary stability of portfolio rules in incomplete markets
• Market selection and survival of investment strategies
• Market equilibria under procedural rationality
• Stochastic equilibria of an asset pricing model with heterogeneous beliefs and random dividends
• Evolution of heterogeneous beliefs and asset overvaluation
• Globally evolutionarily stable portfolio rules
• Market mood, adaptive beliefs and asset price dynamics
• A robust rational route to randomness in a simple asset pricing model
• Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders
• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• Evolution and market behavior
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Empirical properties of a heterogeneous agent model in large dimensions
• The stock-bond comovements and cross-market trading
• Evolution and market behavior with endogenous investment rules
• Market selection of constant proportions investment strategies in continuous time
• Existence and stability of stationary solutions of nonlinear difference equations under random perturbations
• Random Perturbations of Dynamical Systems
• Natural Selection in Financial Markets: Does It Work?
• A Framework for CAPM with Heterogeneous Beliefs
• Optimal strategies for repeated games
• Do Markets Favor Agents able to Make Accurate Predictions?
• Blind Network Revenue Management
• Deterministic Approximation of Stochastic Evolution in Games
• Investment policies for expanding businesses optimal in a long‐run sense

This page was built for publication: Procedural rationality, asset heterogeneity and market selection