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Pessimistic optimal choice for risk-averse agents : the continuous-time limit

Vitale, Paolo - In: Computational economics 49 (2017) 1, pp. 17-65

Persistent link: https://www.econbiz.de/10011751813

An asset pricing model with adaptive heterogeneous agents and wealth effects

Chiarella, Carl; He, Xue-zhong - In: Nonlinear dynamics and heterogeneous interacting agents …, (pp. 269-285). 2005

Persistent link: https://www.econbiz.de/10002775690

Risk aversion impact on investment strategy performance : a multi agent-based analysis

Brandouy, Olivier; Mathieu, Philippe; Veryzhenko, Iryna - In: Managing market complexity : the approach of artificial …, (pp. 91-102). 2012

Persistent link: https://www.econbiz.de/10009580029

Monopolistic competition and new products : a conjectural equilibrium approach

Bogliacino, Francesco; Rampa, Giorgio - In: Journal of economic interaction and coordination : JEIC 5 (2010) 1, pp. 55-76

Persistent link: https://www.econbiz.de/10003973654

Learning, diversification and the nature of risk

Menon, Nidhiya; Subramanian, Narayanan - In: Economic theory : official journal of the Society for … 35 (2008) 1, pp. 117-145

Persistent link: https://www.econbiz.de/10003634173

Noisy trading in the large market limit

Anufriev, Mikhail; Bottazzi, Giulio - In: Artificial economics : agent-based methods in finance, …, (pp. 137-145). 2006

Persistent link: https://www.econbiz.de/10003174330

Do we really need heterogeneous agent models?

Aydilek, Harun; Aydilek, Asiye - In: The quarterly review of economics and finance : journal … 78 (2020), pp. 147-153

Persistent link: https://www.econbiz.de/10012431166

Rational learning for risk-averse investors by conditioning on behavioral choices

Costola, Michele; Caporin, Massimiliano - 2015

Persistent link: https://www.econbiz.de/10011632577

Pessimistic Optimal Choice for Risk-Averse Agents

Vitale, Paolo - 2014

We propose a general framework for the analysis of dynamic optimization with risk-averse agents, extending Whittle's (Whittle, 1990) formulation of risk-sensitive optimal control problems to accommodate time-discounting. We show how, within a Markovian set-up, optimal risk-averse behavior is...

Persistent link: https://www.econbiz.de/10014153184

Uncertainty aversion, carry trades and agent heterogeneity in the FX market

Li, Xiaoping; Tong, Bin; Zhou, Chunyang - In: Finance research letters 36 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012484075

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