We develop an adaptive model which characterizes the evolution of wealth distribution when agents switch between different trading strategies. The wealth of each group is updated not only as a consequence of portfolio growth of agents adopting the relative strategy, but also due to the flow of agents coming from the other group. This switching mechanism is investigated in a Walrasian scenario and under a growing dividend process. A stationary dynamic model is obtained in terms of excess return, wealth and agent proportions, able to explain wealth distribution among agents in the long run.
Asset Pricing Model with Heterogeneous Agents: the Wealth Dynamics
MAMMANA, Cristiana;MICHETTI, ELISABETTA
2012-01-01
Abstract
We develop an adaptive model which characterizes the evolution of wealth distribution when agents switch between different trading strategies. The wealth of each group is updated not only as a consequence of portfolio growth of agents adopting the relative strategy, but also due to the flow of agents coming from the other group. This switching mechanism is investigated in a Walrasian scenario and under a growing dividend process. A stationary dynamic model is obtained in terms of excess return, wealth and agent proportions, able to explain wealth distribution among agents in the long run.File in questo prodotto:
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