Wealth Share Analysis with “Fundamentalist/Chartist” Heterogeneous Agents
We build a multiassets heterogeneous agents model with fundamentalists and chartists, who make investment decisions by maximizing the constant relative risk aversion utility function. We verify that the model can reproduce the main stylized facts in real markets, such as fat-tailed return distributi...
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| Hauptverfasser: | , , , |
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| Format: | Artigo |
| Sprache: | Inglês |
| Veröffentlicht: |
Wiley
2014-01-01
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| Schriftenreihe: | Abstract and Applied Analysis |
| Online-Zugang: | http://dx.doi.org/10.1155/2014/328498 |
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