This paper aims to open a new avenue for research in continuous-time financial market models with endogenous prices and heterogenous investors. To this end we introduce a discrete-time evolutionary stock market model that accommodates time periods of arbitrary length. The dynamics is...

This paper studies the wealth dynamics of investors holding self-financing portfolios in a continuous-time model of a financial market. Asset prices are endogenously determined by market clearing. We derive results on the asymptotic dynamics of the wealth distribution and asset prices for...

The problem of dynamic portfolio choice with transaction costs is often addressed by constructing a Markov Chain approximation of the continuous time price processes. Using this approximation, we present an efficient numerical method to determine optimal portfolio strategies under time- and...

This paper studies the wealth dynamics of investors holding self-financing portfolios in a continuous-time model of a financial market. Asset prices are endogenously determined by market clearing. We derive results on the asymptotic dynamics of the wealth distribution and asset prices for...

This paper aims to open a new avenue for research in continuous-time financial market models with endogenous prices and heterogenous investors. The main result is the derivation of the limit of a discretetime evolutionary stock market model as the length of the time period tends to zero. The...