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Strategies of survival in dynamic asset market games

Amir, Rabah; Evstigneev, Igor V.; Xu, Le - 2008

The paper examines a game-theoretic evolutionary model of a financial market with endogenous equilibrium asset prices. Assets pay dividends that are partially consumed and partially reinvested. The traders use general, adaptive strategies (portfolio rules), distributing their wealth between...

Persistent link: https://www.econbiz.de/10003966195

Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints

Wang, Ning; Zhang, Nan; Zhuo, Jin; Qian, Linyi - In: Insurance / Mathematics & economics 96 (2021), pp. 168-184

Persistent link: https://www.econbiz.de/10012482845

The structure of equilibrium in an asset market with variable supply

Nermuth, Manfred (contributor) - 2008

Persistent link: https://www.econbiz.de/10003812526

Transfers and bequests : a portfolio analysis in a nash game

Chang, Yang-ming - In: Annals of finance 3 (2007) 2, pp. 277-295

Persistent link: https://www.econbiz.de/10003425366

Strategic analysis of risk-shifting incentives with convertible debt

François, Pascal; Hübner, Georges; Papageorgiou, Nicolas - In: The quarterly journal of finance 1 (2011) 2, pp. 293-321

Persistent link: https://www.econbiz.de/10009309748

Asset pricing with status risk

Krasny, Yoel - In: The quarterly journal of finance 1 (2011) 3, pp. 495-549

Persistent link: https://www.econbiz.de/10009419264

Welfare effects of information and rationality in portfolio decisions under parameter uncertainty

Longo, M.; Mainini, A. - In: Quantitative finance 18 (2018) 12, pp. 2035-2050

Persistent link: https://www.econbiz.de/10012262961

Dealing with drift uncertainty : a Bayesian learning approach

De Franco, Carmine; Nicolle, Johann; Pham, Huyên - In: Risks : open access journal 7 (2019) 1/5, pp. 1-18

One of the main challenges investors have to face is model uncertainty. Typically, the dynamic of the assets is modeled …/covariance parameter is assumed to be estimated with a certain level of confidence, we focus on drift uncertainty in this paper. Building …

Persistent link: https://www.econbiz.de/10012018698

Dynamic portfolio decisions with climate risk and model uncertainty

Rubtsov, Alexey; Shen, Sally - In: Journal of sustainable finance & investment 14 (2024) 2, pp. 344-365

Persistent link: https://www.econbiz.de/10014563824

Why do rational investors like variance at the peak of a crisis? : a learning-based explanation

Ghaderi, Mohammad; Kilic, Mete; Seo, Sang Byung - In: Journal of monetary economics 142 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10015071160

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