• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Norges Handelshøyskole
  • Department of Business and Management Science
  • Discussion papers (FOR)
  • View Item
  •   Home
  • Norges Handelshøyskole
  • Department of Business and Management Science
  • Discussion papers (FOR)
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Evolutionary stable investment in stock markets

Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, Klaus Reiner
Working paper
Thumbnail
View/Open
evstigneev igor 1403.pdf (267.8Kb)
URI
http://hdl.handle.net/11250/164027
Date
2003-10
Metadata
Show full item record
Collections
  • Discussion papers (FOR) [592]
Abstract
This paper studies the performance of portfolio rules in incomplete markets for long-lived assets with endogenous prices. The dynamics of wealth shares in the process of repeated reinvestment of wealth is modelled as a random dynamical systems. The performance of a portfolio rule is determined by the wealth share eventually conquered in competition with other rules. We derive necessary and sufficient conditions for the evolutionary stability of portfolio rules when dividends are Markov or, in particular, i.i.d. These local stability conditions leads to a unique evolutionary stable strategy for which an explicit representation is given. It is further demonstrated that mean-variance optimization is not evolutionary stable while the CAPM-rule always imitates the best portfolio rule and survives.
Publisher
Norwegian School of Economics and Business Administration. Department of Finance and Management Science
Series
Discussion paper
2003:14

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit