演講摘要 : The relevance of risk preference and forecasting accuracy to the survival of investors is an issue attracting a few recent theoretical studies. On one extreme, it has been shown that risk preference can be entirely irrelevant, and in the long-run what distinguishes the agents who survive from those who vanish is just their forecasting accuracy. Being in line with the market selection hypothesis, this theoretical result is, however,established mainly with the Pareto optimal allocation. Using agent-basedcomputational modeling, this paper extends the existing studies to an economy where adaptive behavior are autonomous and are complex heterogeneous, an economy which is notorious for its likely persistence deviation from Pareto optimality. Specifically, a computational multi-asset artificial stock market corresponding to Blume and Easley (1992) and Sandroni (2000) is built and studied. Through simulation, we show a contradictory result to the market selection hypothesis. Among the eight types of agents considered in this model, only log-utility agents survive, and the rest are driven out, that includes even those who have superior forecasting accuracy. Nevertheless, when all the agents are of the same type, wealth share is positively correlated to forecasting accuracy, and the market selection hypothesis sustains, at least, in a weak sense.
