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Agent-Based Approaches in Economic and Social Complex Systems IV pp 41–48Cite as

The Relationship between Relative Risk Aversion and Survivability

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Part of the book series: Agent-Based Social Systems ((ABSS,volume 3))

Abstract

As a follow-up to the work of [4] and [5], this paper continues to explore the relationship between wealth share dynamics and risk preferences in the context of an agent-based multi-asset artificial stock market. We simulate a multiasset agent-based artificial stock market composed of heterogeneous agents with different degrees of relative risk aversion (RRA). A wide range of RRA coefficients has been found in the literature, and so far no unanimous conclusion has been reached. The agent-based computational approach as demonstrated in this paper proposes the possibility that in reality there may be such a wide survival range of the RRA coefficient. In addition, the time series plot of the wealth share dynamics indicates that the higher the risk aversion coefficient, the higher the wealth share. This result combined with our earlier result ([5]) well articulates the contribution of risk aversion to survivability.

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Author information

Authors and Affiliations

  1. AI-ECON Research Center Department of Economics, National Chengchi University, Taipei, Taiwan

    Shu-Heng Chen

  2. Department of International Trade, Lunghwa University of Science and Technology, Taoyuan, Taiwan

    Ya-Chi Huang

Authors
  1. Shu-Heng Chen
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  2. Ya-Chi Huang
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Editor information

Editors and Affiliations

  1. Interdisciplinary Graduate School of Science and Engineering, Tokyo Institute of Technology, 4259 Nagatsuta-cho, Midori-ku, Yokohama, 226-8502, Japan

    Takao Terano Ph.D. (Professor) & Hiroshi Deguchi Ph.D. (Professor) (Professor) &  (Professor)

  2. Academic Center for Computing and Media Studies, Kyoto University, Yoshida-Nihonmatsu-cho, Sakyo-ku, Kyoto, 606-8501, Japan

    Hajime Kita Dr. Eng. (Professor) (Professor)

  3. Department of Value and Decision Science, Tokyo Institute of Technology, 2-12-1 O-okayama, Meguro-ku, Tokyo, 158-8550, Japan

    Kyoichi Kijima Dr. Eng. (Professor) (Professor)

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© 2007 Springer

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Chen, SH., Huang, YC. (2007). The Relationship between Relative Risk Aversion and Survivability. In: Terano, T., Kita, H., Deguchi, H., Kijima, K. (eds) Agent-Based Approaches in Economic and Social Complex Systems IV. Agent-Based Social Systems, vol 3. Springer, Tokyo. https://doi.org/10.1007/978-4-431-71307-4_5

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  • DOI: https://doi.org/10.1007/978-4-431-71307-4_5

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  • Publisher Name: Springer, Tokyo

  • Print ISBN: 978-4-431-71306-7

  • Online ISBN: 978-4-431-71307-4

  • eBook Packages: Computer ScienceComputer Science (R0)

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