Kaizoji, Taisei; Leiss, Matthias; Saichev, Alexander; … - In: Journal of Economic Behavior & Organization 112 (2015) C, pp. 289-310
We introduce a model of super-exponential financial bubbles with two assets (risky and risk-free), in which fundamentalist and chartist traders co-exist. Fundamentalists form expectations on the return and risk of a risky asset and maximize their constant relative risk aversion expected utility...