Evolutionary stability of portfolio rules in incomplete markets

DOI10.1016/j.jmateco.2003.01.001zbMath1118.91050OpenAlexW2133254737MaRDI QIDQ556401

Thorsten Hens, Klaus Reiner Schenk-Hoppé

Publication date: 13 June 2005

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://curis.ku.dk/ws/files/32255581/0303.pdf

zbMATH Keywords

Evolutionary financeMarket selection

Mathematics Subject Classification ID

Related Items (28)

On different aspects of portfolio optimization ⋮ Evolutionary portfolio selection with liquidity shocks ⋮ A continuous-time asset market game with short-lived assets ⋮ Prices are macro-observables! stylized facts from evolutionary finance ⋮ Evolutionary game theory: a renaissance ⋮ Performance of investment strategies in the absence of correct beliefs ⋮ Updating wealth in an asset pricing model with heterogeneous agents ⋮ A CONTINUOUS TIME APPROXIMATION OF AN EVOLUTIONARY STOCK MARKET MODEL ⋮ FIXED-MIX RULES IN AN EVOLUTIONARY MARKET USING A FACTOR MODEL FOR DIVIDENDS ⋮ Market equilibria under procedural rationality ⋮ Social contagion and the survival of diverse investment styles ⋮ An analysis of the effect of noise in a heterogeneous agent financial market model ⋮ Asymptotic minimization of expected time to reach a large wealth level in an asset market game ⋮ Procedural rationality, asset heterogeneity and market selection ⋮ Capital Growth and Survival Strategies in a Market with Endogenous Prices ⋮ Phenomenological and ratio bifurcations of a class of discrete time stochastic processes ⋮ Portfolio management without probabilities or statistics ⋮ On non-ergodic asset prices ⋮ Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders ⋮ From discrete to continuous time evolutionary finance models ⋮ Mean-variance versus expected utility in dynamic investment analysis ⋮ The asset market game ⋮ Market selection and survival of investment strategies ⋮ Market selection of constant proportions investment strategies in continuous time ⋮ The reality game ⋮ The evolution of portfolio rules and the capital asset pricing model ⋮ Complex dynamics of an adnascent-type game model ⋮ Competing in several areas simultaneously: the case of strategic asset markets

Cites Work

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• Universal Portfolios
• MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY
• RANDOM DYNAMICAL SYSTEMS IN ECONOMICS
• Do Markets Favor Agents able to Make Accurate Predictions?
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• The Logic of Animal Conflict
• Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
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