Behavioral equilibrium and evolutionary dynamics in asset markets
| Autor: | Thorsten Hens, Igor V. Evstigneev, Valeriya Potapova, Klaus Reiner Schenk-Hoppé |
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| Přispěvatelé: | University of Zurich, Hens, Thorsten |
| Rok vydání: | 2020 |
| Předmět: |
survival porfolio rules
Economics and Econometrics DSGE Computer science Investment strategy Applied Mathematics 05 social sciences Evolutionary game theory 2002 Economics and Econometrics Time horizon evolutionary finance Behavioral economics 10003 Department of Banking and Finance 330 Economics behavioral finance Core (game theory) 2604 Applied Mathematics stochastic dynamic games 0502 economics and business Dynamic stochastic general equilibrium 050206 economic theory Asset (economics) Evolutionary dynamics Mathematical economics 050205 econometrics |
| Zdroj: | Evstigneev, I, Hens, T, Potapova, V & Schenk-Hoppé, K R 2020, ' Behavioral equilibrium and evolutionary dynamics in asset markets ', Journal of Mathematical Economics, vol. 91, pp. 121-135 . https://doi.org/10.1016/j.jmateco.2020.09.004 Journal of Mathematical Economics |
| ISSN: | 0304-4068 |
| DOI: | 10.1016/j.jmateco.2020.09.004 |
| Popis: | This paper analyzes a dynamic stochastic equilibrium model of an asset market based on behavioral and evolutionary principles. The core of the model is a non-traditional game-theoretic framework combining elements of stochastic dynamic games and evolutionary game theory. Its key characteristic feature is that it relies only on objectively observable market data and does not use hidden individual agents’ characteristics (such as their utilities and beliefs). A central goal of the study is to identify an investment strategy that allows an investor to survive in the market selection process, i.e., to keep with probability one a strictly positive, bounded away from zero share of market wealth over an infinite time horizon, irrespective of the strategies used by the other players. The main results show that under very general assumptions, such a strategy exists, is asymptotically unique and easily computable. The paper resolves long-standing open problems that remained open for about a decade. |
| Databáze: | OpenAIRE |
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