We analyze the joint impact of country, regional and global market risks on weekly changes in yield spreads of Mexico, Colombia and Brazil. In contrast to previous studies, we consider a homogenous set of liquid Eurobonds which are representative of current emerging bond markets. All risk-factor...

The paper examines a game-theoretic model of a financial market in which asset prices are determined endogenously in terms of short-run equilibrium. Investors use general, adaptive strategies depending on the exogenous states of the world and the observed history of the game. The main goal is to...

Trading skills are highly rewarded in practice but largely ignored in theoretical models of financial markets. This paper demonstrates the importance of skills by examining their interaction with market fragmentation and market stability. We consider a computational model where traders'...

Economic growth transformed the world. Its measurement via GDP has risen to prominence as the pre-eminent metric of economic prowess and political success. How better to tell its story than through the lens of the world’s first growing economy? Britain's experience with economic growth has...

We present an efficient numerical method to determine optimal portfolio strategies under time- and state-dependent drift and proportional transaction costs. This scenario arises when investors have behavioral biases or the actual drift is unknown and needs to be estimated. The numerical method...

This paper presents an application of evolutionary portfolio theory to stocks listed in the Swiss Market Index (SMI). We study numerically the long-run outcome of the competition of rebalancing rules for market shares in a stock market with actual dividends taken from firms listed in the SMI....

The paper analyzes the long-run performance of dynamic investment strategies based on fixed-mix portfolio rules. Such rules prescribe to rebalance the portfolio by transferring funds between its positions according to fixed (time-independent) proportions. The focus is on asset markets where...

The paper considers the evolution of portfolio rules in markets with stationary returns and endogenous prices. The ultimate success of a portfolio rule is measured by the wealth share the rule is eventually able to conquer in competition with other portfolio rules. We give necessary and...