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research article

Relative Extinction of Heterogeneous Agents

Cvitanic, Jaksa
•
Malamud, Semyon  
2009
B.E. Journal of Theoretical Economics

In all the existing literature on survival in heterogeneous economies, the rate at which an agent vanishes in the long run relative to another agent can be characterized by the difference of the so-called survival indices, where each survival index only depends on the preferences of the corresponding agent and the properties of the aggregate en- dowment. In particular, one agent experiences extinction relative to another (that is, the wealth ratio of the two agents goes to zero) if and only if she has a smaller survival index. We consider a simple continuous-time model of the Merton-Black-Scholes type and show that the survival index is more complex if there are more than two agents in the economy. In fact, the following phenomenon may take place: even if agent i experiences extinction relative to agent j, adding a third agent k to the economy may reverse the situation and force the agent j to experience extinction relative to agent i. We also calculate the rate of convergence.

  • Details
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Type
research article
DOI
10.2202/1935-1704.1605
Web of Science ID

WOS:000274473500003

Author(s)
Cvitanic, Jaksa
Malamud, Semyon  
Date Issued

2009

Published in
B.E. Journal of Theoretical Economics
Volume

10

Issue

1

Start page

4

Subjects

equilibrium

•

heterogeneous agents

•

survival

•

extinction

•

Investment Strategies

•

Market Selection

•

Long-Run

•

Survival

•

Equilibria

•

Evolution

•

Traders

•

Rates

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
SFI-SM  
Available on Infoscience
October 12, 2009
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/43646
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