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dc.contributor.authorEvstigneev, Igor V.
dc.contributor.authorHens, Thorsten
dc.contributor.authorSchenk-Hoppé, Klaus Reiner
dc.date.accessioned2006-07-13T08:52:34Z
dc.date.available2006-07-13T08:52:34Z
dc.date.issued2003-10
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/164027
dc.description.abstractThis 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.en
dc.format.extent274257 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoengen
dc.publisherNorwegian School of Economics and Business Administration. Department of Finance and Management Scienceen
dc.relation.ispartofseriesDiscussion paperen
dc.relation.ispartofseries2003:14en
dc.subjectevolutionary financeen
dc.subjectportfolio theoryen
dc.subjectincomplete marketsen
dc.titleEvolutionary stable investment in stock marketsen
dc.typeWorking paperen


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