Journal of Mathematical Finance
Volume 3, Issue 4 (November 2013)
ISSN Print: 2162-2434 ISSN Online: 2162-2442
Google-based Impact Factor: 0.87 Citations h5-index & Ranking
Investor Naïveté and Asset Prices ()
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ABSTRACT
This paper describes strategic behavior in a nonequilibrium model of asset pricing with heterogeneous sophistication. Both risk and return are increasing in the na?veté of investors in the market. Optimal investment involves in considering the effect that na?e investors have on the market. Further, we derive a simple characterization of the asset price dynamics that results from an arbitrary combination of a countably infinite set of investor types.
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