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dc.contributor.author
Muraviev, Roman
dc.date.accessioned
2017-06-09T16:59:50Z
dc.date.available
2017-06-09T16:59:50Z
dc.date.issued
2011
dc.identifier.uri
http://hdl.handle.net/20.500.11850/40573
dc.description.abstract
We study natural selection in complete financial markets, populated by heterogeneous agents. We allow for a rich structure of heterogeneity: Individuals may differ in their beliefs concerning the economy, information and learning mechanism, risk aversion, impatience (time preference rate) and degree of habits. We develop new techniques for studying long run behavior of such economies, based on the Strassen's functional law of iterated logarithm. In particular, we explicitly determine an agent's survival index and show how the latter depends on the agent's characteristics. We use these results to study the long run behavior of the equilibrium interest rate and the market price of risk.
dc.language.iso
en
dc.publisher
Cornell University
dc.title
Natural selection with habits and learning in heterogeneous economies
dc.type
Working Paper
ethz.pages.start
arXiv:1106.3025v2
ethz.size
30 p.
ethz.notes
Submitted on 15 June 2011, Last revised 19 June 2011.
ethz.publication.place
Ithaca, NY
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich, direkt::00012 - Lehre und Forschung, direkt::00007 - Departemente, direkt::02000 - Departement Mathematik / Department of Mathematics::02003 - Professuren Reine Mathematik::02824 - Pool Gruppe 3 (D-MATH)
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.identifier.url
http://arxiv.org/abs/1106.3025
ethz.date.deposited
2017-06-09T17:00:08Z
ethz.source
ECIT
ethz.identifier.importid
imp59364e9823e2517710
ethz.ecitpid
pub:67890
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-13T12:33:41Z
ethz.rosetta.lastUpdated
2018-10-01T14:08:35Z
ethz.rosetta.versionExported
true
ethz.COinS
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