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Studies in Nonlinear Dynamics & Econometrics

Ed. by Mizrach, Bruce

5 Issues per year


IMPACT FACTOR 2016: 0.649

CiteScore 2016: 0.63

SCImago Journal Rank (SJR) 2016: 0.546
Source Normalized Impact per Paper (SNIP) 2016: 0.793

Mathematical Citation Quotient (MCQ) 2016: 0.03

Online
ISSN
1558-3708
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Volume 16, Issue 4

Issues

Asset Pricing with Heterogeneous Investment Horizons

Mikhail Anufriev / Giulio Bottazzi
Published Online: 2012-10-16 | DOI: https://doi.org/10.1515/1558-3708.1903

Abstract

We consider an analytically tractable asset pricing model describing the trading activity in a stylized market with two assets. Traders are boundedly rational expected utility maximizers with different beliefs about future prices and different investment horizons. In particular, we analyze the effects of the latter source of heterogeneity on the dynamics of price. We find that in the case with homogeneous agents, longer investment horizons lead to more stable dynamics. This is not true, however, in the case of a mixed population of traders, when the increase of heterogeneity in the investment horizons can introduce instability in the system. Furthermore, the role of heterogeneity turns out to be different for different trading behaviors and its effect on the aggregate dynamics depends on the whole ecology of agents' beliefs.

About the article

Published Online: 2012-10-16


Citation Information: Studies in Nonlinear Dynamics & Econometrics, Volume 16, Issue 4, ISSN (Online) 1558-3708, DOI: https://doi.org/10.1515/1558-3708.1903.

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©2012 Walter de Gruyter GmbH & Co. KG, Berlin/Boston. Copyright Clearance Center

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