FIXED-MIX RULES IN AN EVOLUTIONARY MARKET USING A FACTOR MODEL FOR DIVIDENDS

DOI10.1142/S021902491100684XzbMath1233.91328MaRDI QIDQ3225028

Konstantinos Mavroudis, Craig A. Nolder

Publication date: 13 March 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

principal components analysisexcess volatilityconstant-proportions investment strategiesdividend factor modelevolutionary portfolio theory

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Unnamed Item
• Evolutionary stability of portfolio rules in incomplete markets
• Globally evolutionarily stable portfolio rules
• Principal component analysis.
• Evolutionary stable stock markets
• Linearization and local stability of random dynamical systems
• Volatility-induced financial growth
• MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY
• The Logic of Animal Conflict
• Common risk factors in the returns on stocks and bonds

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