Globally evolutionarily stable portfolio rules

DOI10.1016/j.jet.2007.09.005zbMath1136.91429OpenAlexW3123043687MaRDI QIDQ928881

Klaus Reiner Schenk-Hoppé, Igor V. Evstigneev, Thorsten Hens

Publication date: 11 June 2008

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11250/164075

zbMATH Keywords

evolutionary stabilityevolutionary financeKelly rulesurvival and extinction of portfolio ruleswealth dynamics

Mathematics Subject Classification ID

Related Items (16)

Itchy feet vs cool heads: flow of funds in an agent-based financial market ⋮ Performance of investment strategies in the absence of correct beliefs ⋮ Updating wealth in an asset pricing model with heterogeneous agents ⋮ FIXED-MIX RULES IN AN EVOLUTIONARY MARKET USING A FACTOR MODEL FOR DIVIDENDS ⋮ Market equilibria under procedural rationality ⋮ Social contagion and the survival of diverse investment styles ⋮ Evolutionary finance and dynamic games ⋮ Local stability analysis of a stochastic evolutionary financial market model with a risk-free asset ⋮ Procedural rationality, asset heterogeneity and market selection ⋮ Asset market games of survival: a synthesis of evolutionary and dynamic games ⋮ Evolution and market behavior with endogenous investment rules ⋮ Almost sure Nash equilibrium strategies in evolutionary models of asset markets ⋮ From discrete to continuous time evolutionary finance models ⋮ Market selection of constant proportions investment strategies in continuous time ⋮ Long-run heterogeneity in an exchange economy with fixed-mix traders ⋮ Momentum and reversal in financial markets with persistent heterogeneity

Cites Work

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• If You're so Smart, why Aren't You Rich? Belief Selection in Complete and Incomplete Markets
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• MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY
• Do Markets Favor Agents able to Make Accurate Predictions?
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