Fixed-mix rules in an evolutionary market using a factor model for dividends

DOI10.1142/S021902491100684XMaRDI QIDQ3225028zbMATH OpenFDO

Authors Konstantinos Mavroudis, Craig A. Nolder

Publication date 13 March 2012

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

principal components analysisexcess volatilityconstant-proportions investment strategiesdividend factor modelevolutionary portfolio theory

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Recommendations

• Globally evolutionarily stable portfolio rules
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Cites work

• scientific article; zbMATH DE number 40987 (Why is no real title available?)
• Common risk factors in the returns on stocks and bonds
• Evolutionary stability of portfolio rules in incomplete markets
• Evolutionary stable stock markets
• Globally evolutionarily stable portfolio rules
• Linearization and local stability of random dynamical systems
• MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY
• Principal component analysis.
• The logic of animal conflict
• Volatility-induced financial growth

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