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

DOI10.1016/J.JEDC.2004.08.011MaRDI QIDQ956503zbMATH OpenOpenAlexFDO

Authors Thorsten Hens, Klaus R. Schenk-Hoppé

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

zbMATH Keywords

portfolio theoryevolutionary financedemand for money

Mathematics Subject Classification ID

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

Recommendations

• Inefficient liquidity provision
• Liquidity and market participation
• Liquidity and market participation
• A model of equilibrium in markets of cash balances
• Market selection

Cites work

• A preference foundation for log mean-variance criteria in portfolio choice problems
• Asset Prices in an Exchange Economy
• Do Markets Favor Agents able to Make Accurate Predictions?
• Evolution and market behavior
• Evolution and time horizons in an agent-based stock market
• Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
• 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
• Matrix Analysis
• On the structure and diversity of rational beliefs
• The assessment of large compounds of independent gambles
• Time series properties of an artificial stock market

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

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

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q956503)