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~person:"Carr, Peter"
~person:"Chiarella, Carl"
~person:"Evstigneev, Igor V."
~person:"Jeon, Doh-Shin"
~person:"Madan, Dilip B."
~person:"Zhang, Lu"
~subject:"Financial economics"
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1
Evolutionary finance : a model with endogenous asset payoffs
Evstigneev, Igor V.
;
Hens, Thorsten
;
Vanaei, Mohammad Javad
- In:
Journal of bioeconomics
25
(
2023
)
2
,
pp. 117-143
Persistent link: https://www.econbiz.de/10014322332
Saved in:
2
Evolutionary finance : A model with endogenous asset payoffs
Evstigneev, Igor V.
;
Hens, Thorsten
;
Vanaei, Mohammad Javad
-
2023
Evolutionary Finance (EF) explores financial markets as evolving biological systems. Investors pursuing diverse investment strategies compete for the market capital. Some "survive" and some "become extinct". A central goal is to identify evolutionary stable (in one sense or another) investment...
Persistent link: https://www.econbiz.de/10014258377
Saved in:
3
An evolutionary finance model with short selling and endogenous asset supply
Amir, Rabah
;
Belkov, Sergei
;
Evstigneev, Igor V.
;
Hens, …
- In:
Economic theory
73
(
2022
)
2/3
,
pp. 655-677
Persistent link: https://www.econbiz.de/10013277340
Saved in:
4
q-factors and investment CAPM
Zhang, Lu
-
2019
The q-factor model shows strong explanatory power and largely summarizes the cross section of average stock returns. In particular, the q-factor model fully subsumes the Fama-French (2018) 6-factor model in head-to-head factor spanning tests. The q-factor model is an empirical implementation of...
Persistent link: https://www.econbiz.de/10012168924
Saved in:
5
The Investment CAPM
Zhang, Lu
-
2018
A new class of Capital Asset
Pricing
Models (CAPM) arises from the first principle of real investment for individual … leading asset
pricing
paradigm. Firms do a good job in aligning investment policies with costs of capital, and this alignment …
Persistent link: https://www.econbiz.de/10012930661
Saved in:
6
Evolutionary finance models with short selling and endogenous asset supply
Belkov, Sergei
;
Evstigneev, Igor V.
;
Hens, Thorsten
-
2017
The purpose of this work is to develop an evolutionary finance model with a risk-free asset playing the role of a numeraire. The model describes a market where one risk-free and several "short-lived" risky assets (securities) are traded in discrete time. The risky securities live one period,...
Persistent link: https://www.econbiz.de/10011762273
Saved in:
7
An evolutionary finance model with a risk-free asset
Belkov, Sergei
;
Evstigneev, Igor V.
;
Hens, Thorsten
-
2017
Evolutionary Finance focuses on questions of "survival and extinction" of investment strategies (portfolio rules) in the market selection process. It analyzes stochastic dynamics of financial markets in which asset prices are determined endogenously by a short-run equilibrium between supply and...
Persistent link: https://www.econbiz.de/10011865449
Saved in:
8
The Investment CAPM
Zhang, Lu
-
2017
A new class of Capital Asset
Pricing
Models (CAPM) arises from the first principle of real investment for individual … leading asset
pricing
paradigm. Firms do a good job in aligning investment policies with costs of capital, and this alignment …
Persistent link: https://www.econbiz.de/10012960790
Saved in:
9
The investment CAPM
Zhang, Lu
-
2017
Persistent link: https://www.econbiz.de/10011634680
Saved in:
10
The Investment CAPM
Zhang, Lu
-
2017
A new class of Capital Asset
Pricing
Models (CAPM) arises from the first principle of real investment for individual … leading asset
pricing
paradigm. Firms do a good job in aligning investment policies with costs of capital, and this alignment …
Persistent link: https://www.econbiz.de/10012455455
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