کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
9726631 1479286 2005 24 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Evolutionary stability of portfolio rules in incomplete markets
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Evolutionary stability of portfolio rules in incomplete markets
چکیده انگلیسی
This paper studies the evolution of wealth shares of portfolio rules in incomplete markets with short-lived assets. Prices are determined endogenously. The performance of a portfolio rule in the process of repeated reinvestment of wealth is determined by the wealth share eventually conquered in competition with other portfolio rules. Using random dynamical systems theory, we derive necessary and sufficient conditions for the evolutionary stability of portfolio rules. In the case of Markov (in particular i.i.d.) payoffs these local stability conditions lead to a simple portfolio rule that is the unique evolutionary stable strategy. This rule possesses an explicit representation. Moreover, it is demonstrated that mean-variance optimization is not evolutionary stable while the CAPM-rule always imitates the best portfolio rule and survives.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Economics - Volume 41, Issues 1–2, February 2005, Pages 43-66
نویسندگان
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