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Relative Extinction of Heterogeneous Agents

Cvitanić, Jakša and Malamud, Semyon (2010) Relative Extinction of Heterogeneous Agents. B. E. Journal of Theoretical Economics, 10 (1). Art. No. 4. ISSN 1935-1704. https://resolver.caltech.edu/CaltechAUTHORS:20100712-090750198

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Abstract

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 endowment. 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 complete market model 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 one experiences extinction relative to agent two, adding a third agent to the economy may reverse the situation and force the agent two to experience extinction relative to agent one. We also calculate the rates of convergence.


Item Type:Article
Related URLs:
URLURL TypeDescription
http://www.bepress.com/bejte/vol10/iss1/art4PublisherArticle
ORCID:
AuthorORCID
Cvitanić, Jakša0000-0001-6651-3552
Additional Information:© 2010 The Berkeley Electronic Press. The research of J. Cvitanic was supported in part by NSF grant DMS 06-31298. The research of S. Malamud was supported in part by NCCR FINRISK, Project D1. We are very grateful to the co-editor, two anonymous referees, Bernard Dumas, Julien Hugonnier, Elyes Jouini, Rajnish Mehra, Sasa Parad, and to the seminar participants at University of Southern California, University of Texas at Austin and Arizona State University, and the conference participants at the North American Summer Meeting of the Econometric Society and CEPR Asset Pricing Meeting for helpful comments. Existing errors are our sole responsibility.
Funders:
Funding AgencyGrant Number
NSFDMS 06-31298
National Centres of Competence in Research (NCCR) FINRISKProject D1
Subject Keywords:equilibrium; heterogeneous agents; survival; extinction
Issue or Number:1
Record Number:CaltechAUTHORS:20100712-090750198
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20100712-090750198
Official Citation:Jaksa Cvitanic and Semyon Malamud (2010) “Relative Extinction of Heterogeneous Agents,” The B.E. Journal of Theoretical Economics: Vol. 10: Iss. 1 (Contributions), Article 4. Available at: http://www.bepress.com/bejte/vol10/iss1/art4
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:18989
Collection:CaltechAUTHORS
Deposited By: Tony Diaz
Deposited On:03 Aug 2010 23:05
Last Modified:03 Oct 2019 01:50

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