Evolutionary stability of portfolio rules in incomplete markets

Journal of Mathematical Economics

Volumn 41, Issue 1-2, 2005, Pages 43-66

  Hens, Thorsten ^a   Schenk Hoppé, Klaus Reiner ^a,b  

^a UNIVERSITY OF ZURICH   (Switzerland)

^b UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Evolutionary finance; Incomplete markets; Market selection; Portfolio theory

Indexed keywords

EID: 13844252018     PISSN: 03044068     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmateco.2003.01.001     Document Type: Article

References (21)

1. Algoet P.H. Cover T.M. Asymptotic optimality and asymptotic equipartition properties of log-optimum investment Annals of Probability 16 1988 876-898
2. Arnold, L., 1998. Random Dynamical Systems. Springer-Verlag, Berlin
3. Blume L. Easley D. Evolution and market behavior Journal of Economic Theory 58 1992 9-40
4. Blume, L., Easley, D., 2000. "If you're so smart, why aren't you rich? Belief selection in complete and incomplete markets", Mimeo, Department of Economics, Cornell University
5. Breiman L. Optimal gambling systems for favorable games Fourth Berkeley Symposium on Mathematical Statistics and Probability 1 1961 65-78
6. Cover T. An algorithm for maximizing expected log-investment return IEEE Transformation Information Theory 30 1984 369-373
7. Cover T. Universal portfolios Mathematical Finance 1 1991 1-29
8. Epstein L. Zin S. Substitution, risk aversion, and the temporal behavior of consumption and asset returns Econometrica 57 1989 937-969
9. Evstigneev I.V. Hens T. Schenk-Hoppé K.R. Market selection of financial trading strategies: Global stability Mathematical Finance 12 2002 329-339
10. Farmer, J.D., Lo, A.W., 1999. "Frontiers of finance: Evolution and efficient markets", In: Proceedings of the National Academy of Sciences, vol. 96, pp. 9991-9992
11. Hakansson N. Optimal investment and consumption strategies under risk for a class of utility functions Econometrica 38 1970 587-607
12. Karatzas, I., Shreve, S., 1998. Methods of Mathematical Finance. Springer-Verlag, New York
13. Kelly J. A new interpretation of information rate Bell System Technical Journal 35 1956 917-926
14. Maynard Smith J. Price G. The logic of animal conflict Nature 246 1973 15-18
15. Sandroni A. Do markets favor agents able to make accurate predictions? Econometrica 68 2000 1303-1341
16. Schenk-Hoppé K.R. Random dynamical systems in economics Stochastics and Dynamics 1 2001 63-83
17. Schenk-Hoppé K.R. Sample-path stability of non-stationary dynamic economic systems Annals of Operations Research 114 2002 263-280
18. Sciubba, E., 1999. The Evolution of Portfolio Rules and the Capital Asset Pricing Model. University of Cambridge DAE Working Paper No. 9909
19. Thorp, E., 1971. Portfolio choice and the Kelly criterion. In: Ziemba, W.T., Vickson, R.G. (Eds.), Stochastic Models in Finance. pp. 599-619
20. Veblen T. Why is economics not an evolutionary science? Quarterly Journal of Economics 12 1898 373-397
21. Wanner, T., 1995. Linearization of random dynamical systems. In: Jones, C., Kirchgraber, U., Walther, H.O. (Eds.), Dynamics Reported, vol. 4. Springer-Verlag, pp. 203-269