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

DOI10.1142/S021902491100684XzbMATH Open1233.91328MaRDI QIDQ3225028FDOQ3225028

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)

Recommendations

• Globally evolutionarily stable portfolio rules
• Evolutionary stable stock markets
• Market selection of constant proportions investment strategies in continuous time
• Evolutionary stability of portfolio rules in incomplete markets
• FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES

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)

Cites Work

• Principal component analysis.
• Common risk factors in the returns on stocks and bonds
• The logic of animal conflict
• Evolutionary stable stock markets
• MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY
• Evolutionary stability of portfolio rules in incomplete markets
• Globally evolutionarily stable portfolio rules
• Title not available (Why is that?)
• Volatility-induced financial growth
• Linearization and local stability of random dynamical systems

This page was built for publication: Fixed-mix rules in an evolutionary market using a factor model for dividends

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3225028)