Markets do not select for a liquidity preference as behavior towards risk

DOI10.1016/j.jedc.2004.08.011zbMath1198.91189OpenAlexW2138583072MaRDI QIDQ956503

Klaus Reiner Schenk-Hoppé, Thorsten Hens

Publication date: 25 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://www.econ.uzh.ch/static/wp_iew/iewwp139.pdf

zbMATH Keywords

portfolio theoryevolutionary financedemand for money

Mathematics Subject Classification ID

Portfolio theory (91G10) Actuarial science and mathematical finance (91G99) Welfare economics (91B15)

Related Items (4)

Evolutionary portfolio selection with liquidity shocks ⋮ Local stability analysis of a stochastic evolutionary financial market model with a risk-free asset ⋮ RISK-SEEKING VERSUS RISK-AVOIDING INVESTMENTS IN NOISY PERIODIC ENVIRONMENTS ⋮ Asset price and wealth dynamics in a financial market with heterogeneous agents

Cites Work

• A preference foundation for log mean-variance criteria in portfolio choice problems
• Evolution and market behavior
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• On the structure and diversity of rational beliefs
• The assessment of large compounds of independent gambles
• Time series properties of an artificial stock market
• EVOLUTION AND TIME HORIZONS IN AN AGENT-BASED STOCK MARKET
• If You're so Smart, why Aren't You Rich? Belief Selection in Complete and Incomplete Markets
• Matrix Analysis
• Asset Prices in an Exchange Economy
• Do Markets Favor Agents able to Make Accurate Predictions?
• Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods

This page was built for publication: Markets do not select for a liquidity preference as behavior towards risk