An evolutionary finance model with a risk-free asset

DOI10.1007/s10436-020-00370-4zbMath1461.91268OpenAlexW3037895207MaRDI QIDQ2022939

Thorsten Hens, Sergei Belkov, Igor V. Evstigneev

Publication date: 3 May 2021

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://www.research.manchester.ac.uk/portal/en/publications/an-evolutionary-finance-model-with-a-riskfree-asset(3854f949-aef1-42cb-92ce-82a478da3961).html

zbMATH Keywords

random dynamical systemsevolutionary financenumerairerisk-free assetsurvival portfolio rules

Mathematics Subject Classification ID

Evolutionary games (91A22) Portfolio theory (91G10)

Related Items

Social contagion and the survival of diverse investment styles

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asset market games of survival: a synthesis of evolutionary and dynamic games
• Evolutionary dynamics in markets with many trader types
• Institutional architectures and behavioral ecologies in the dynamics of financial markets
• Belief heterogeneity and survival in incomplete markets
• Stochastic evolutionary game dynamics
• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• Evolutionary dynamics with aggregate shocks
• Two-player stochastic games. I: A reduction
• Two-player stochastic games. II: The case of recursive games
• Small perturbations and stochastic games
• Asymmetric information and survival in financial markets
• Long-run heterogeneity in an exchange economy with fixed-mix traders
• Stochastic equilibrium programming for dynamic oligopolistic markets
• Evolutionary finance and dynamic games
• Local stability analysis of a stochastic evolutionary financial market model with a risk-free asset
• Mathematical financial economics. A basic introduction
• The evolution of portfolio rules and the capital asset pricing model
• Stochastic evolution of rules for playing finite normal form games
• Volatility-induced financial growth
• Evolutionary Games and Population Dynamics
• Changes of numéraire, changes of probability measure and option pricing
• Analysis of the rebalancing frequency in log-optimal portfolio selection
• A Utility Function Derived from a Survival Game
• Stochastic Games
• Game options