Evolutionary portfolio selection with liquidity shocks

DOI10.1016/J.JEDC.2007.05.001zbMATH Open1181.91307OpenAlexW3122574021MaRDI QIDQ844633FDOQ844633

Authors: Enrico G. De Giorgi 

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: http://www.econ.uzh.ch/static/wp_iew/iewwp185.pdf

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zbMATH Keywords

portfolio theoryinsuranceevolutionary finance

Mathematics Subject Classification ID

Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

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• Continuous-Time Red and Black: How to Control a Diffusion to a Goal
• Minimizing or Maximizing the Expected Time to Reach Zero
• Markets do not select for a liquidity preference as behavior towards risk
• Equilibrium impact of value-at-risk regulation

Cited In (3)

• Permanent shocks, signal extraction, and portfolio selection
• Evolutionary stability of portfolio rules in incomplete markets
• Evolutionary game theory: a renaissance

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