Markets do not select for a liquidity preference as behavior towards risk
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Publication:956503
DOI10.1016/J.JEDC.2004.08.011zbMATH Open1198.91189OpenAlexW2138583072MaRDI QIDQ956503FDOQ956503
Klaus R. Schenk-Hoppé, Thorsten Hens
Publication date: 25 November 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: http://www.econ.uzh.ch/static/wp_iew/iewwp139.pdf
Recommendations
Portfolio theory (91G10) Actuarial science and mathematical finance (91G99) Welfare economics (91B15)
Cites Work
- Matrix Analysis
- Asset Prices in an Exchange Economy
- On the structure and diversity of rational beliefs
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- If You're so Smart, why Aren't You Rich? Belief Selection in Complete and Incomplete Markets
- Do Markets Favor Agents able to Make Accurate Predictions?
- Evolution and market behavior
- Time series properties of an artificial stock market
- Evolution and time horizons in an agent-based stock market
- A preference foundation for log mean-variance criteria in portfolio choice problems
- Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
- The assessment of large compounds of independent gambles
Cited In (4)
- RISK-SEEKING VERSUS RISK-AVOIDING INVESTMENTS IN NOISY PERIODIC ENVIRONMENTS
- Evolutionary portfolio selection with liquidity shocks
- Local stability analysis of a stochastic evolutionary financial market model with a risk-free asset
- Asset price and wealth dynamics in a financial market with heterogeneous agents
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