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On the evolutionary stability of rational expectations
Parke, William R.; Waters, George - In: Macroeconomic dynamics 18 (2014) 7, pp. 1581-1606
Persistent link: https://www.econbiz.de/10010467922
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Behavioral equilibrium and evolutionary dynamics in asset markets
Evstigneev, Igor V.; Hens, Thorsten; Potapova, Valeriya; … - In: Journal of mathematical economics 91 (2020), pp. 121-135
Persistent link: https://www.econbiz.de/10012801334
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Nash equilibrium strategies and survival portfolio rules in evolutionary models of asset markets
Belkov, Sergei; Evstigneev, Igor V.; Hens, Thorsten; Xu, Le - In: Mathematics and financial economics 14 (2020) 2, pp. 249-262
Persistent link: https://www.econbiz.de/10012240204
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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
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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
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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
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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
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No-arbitrage principle in conic finance
Vazifedan, Mehdi; Zhu, Qiji Jim - In: Risks : open access journal 8 (2020) 2/66, pp. 1-34
In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to … the hyperplane that separates the attainable gain subspace and the convex cone representing arbitrage opportunities … anymore. We use convex optimization, and the conic property of this region to characterize the "no-arbitrage" principle in …
Persistent link: https://www.econbiz.de/10012293018
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Arbitrageur behavior in sentiment-driven asset-pricing
Kilic, Erdem; Göksel, Oğuzhan - In: Annals of financial economics 16 (2021) 3, pp. 1-37
Persistent link: https://www.econbiz.de/10013185459
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No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
Bielecki, Tomasz R.; Cialenco, Igor; Rodriguez, Rodrigo - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 673-701
Persistent link: https://www.econbiz.de/10011350542