|
|
Paper Stats:
Abstract Views: 671
Downloads: 0
|
Explaining the Facts with Adaptive Agents: The Case of Mutual Fund Flows
|
MARTIN LETTAU
New York University - Department of Finance; Centre for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER)
|
| |
Abstract:
This paper studies portfolio decisions of boundedly rational agents in a financial market. Learning is modelled via a genetic algorithm. Learning as modelled in this paper leads agents to hold too much risk as compared to the optimal portfolio of rational investors. Moreover, learning agent exhibit an asymmetric response after positve and negative returns where the portfolio adjustment is more pronounced after negative returns. It is demonstrated that investors in mutual funds show the same investment patterns as the learning agents in the model. A steady-state version of the model is able to match the mutual fund data closely.
|
| |
JEL Classifications: G11
|
| |
Working Paper Series
|
| |
Contact Information for
MARTIN
LETTAU
(Contact Author)
Email address for MARTIN
LETTAU
New York University - Department of Finance
44 West 4th Street
Suite 9-190
New York
, NY
10012-1126
United States
212-998-0378 (Phone)
212-995-4233 (Fax)
|
|
(No e-mail address available for MARTIN
LETTAU
Centre for Economic Policy Research (CEPR)
90-98 Goswell Road
London EC1V 7RR
United Kingdom
|
|
(No e-mail address available for MARTIN
LETTAU
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge
, MA
02138
United States
|
|
|
| |
|
| |
Email Abstract or URL
|
| |
SSRN Resources
To search for other abstracts in the SSRN archival database, click here.
To order a membership to an SSRN Network or to subscribe to one or more of SSRN's journals,
go to our online subscription request form.
To go to SSRN's main web site (www.ssrn.com), click here.
|
