A HEURISTIC MACRO MODEL OF A FINANCIAL MARKET Myron J Gordon and Suresh P Sethi
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(0) (0 Votes)Views: (1006) Date: (13-05-09) Pages: () -
Author: by Nove Mb Er Myron J. Gordon Suresh P. Sethi
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Abstract: A macro model of a financial market is presented in which the actors are portfolio investors and the securities are a share and a one-period bond. Each investor makes periodic portfolio and consumption decisions on the basis of the share?s price and expected return, and other relevant variables. The decisions of the investors are independent of each other, but price and expected return adjust so that investors in aggregate are persuaded to hold the outstanding quantities of bonds and shares. Simulation of the model is consistent with U.S. experience with respect to the mean and the variance of the holding-period return on the S&P 500, portfolio composition, and other financial market variables. Expansion of the model to include additional securities and actors is discussed. Myron Gordon is Professor Emeritus of Finance, Rotman School of Management, University of Toronto, Toronto, Canada M5S 3E6. Email: gordon@mgmt.utoronto .ca. Suresh P. Sethi is Ashbell Smith Professor of Operations Ma...
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