Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/64112 
Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
Working Paper No. 07-03
Verlag: 
University of California, Santa Cruz Institute for International Economics (SCIIE), Santa Cruz, CA
Zusammenfassung: 
We develop a financial market model focused on fund managers who continuously adjust their exposure to risk in response to the payoff gradient. The base model has a stable equilibrium with classic properties. However, bubbles and crashes occur in extended models incorporating an endogenous market risk premium based on investors' historical losses and constant gain learning. When losses have been small for a long time, asset prices inflate as fund managers adopt riskier portfolios. Then slight losses can trigger a crash, as a widening risk premium accelerates the decline in asset price.
Schlagwörter: 
financial markets
bubbles
escape dynamics
time varying risk premium
constant gain learning
agent based models
JEL: 
C63
C73
D53
Dokumentart: 
Working Paper

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