Evolutionary portfolio selection with liquidity shocks

DOI10.1016/J.JEDC.2007.05.001MaRDI QIDQ844633zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

portfolio theoryinsuranceevolutionary finance

Mathematics Subject Classification ID

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

Recommendations

• Evolutionary stability of portfolio rules in incomplete markets
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Cites work

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• Evolutionary stable stock markets
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• Learning to predict rationally when beliefs are heterogeneous
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• MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES
• Markets do not select for a liquidity preference as behavior towards risk
• Matrix Analysis
• Minimizing or Maximizing the Expected Time to Reach Zero
• Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time

Cited in

(3)

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

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