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An evolutionary finance model with a risk-free asset

Belkov, Sergei; Evstigneev, Igor V.; Hens, Thorsten - 2017

interaction of portfolio rules of competing market participants. A comprehensive theory of evolutionary dynamics of this kind has … the theory to a class of models with short selling and endogenous asset supply …

Persistent link: https://www.econbiz.de/10011865449

Nash equilibrium strategies and survival portfolio rules in evolutionary models of asset markets

Belkov, Sergei; Evstigneev, Igor V.; Hens, Thorsten; Xu, Le - 2017

We consider a stochastic model of a financial market with one-period assets and endogenous asset prices. The model was initially developed and analyzed in the context of Evolutionary Finance with the main focus on questions of "survival and extinction" of investment strategies (portfolio rules)....

Persistent link: https://www.econbiz.de/10011761279

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 …

Persistent link: https://www.econbiz.de/10011762273