دانلود مقاله ISI انگلیسی شماره 51753
ترجمه فارسی عنوان مقاله

ثبات تکاملی از قوانین نمونه کارها در بازارهای ناقص

عنوان انگلیسی
Evolutionary stability of portfolio rules in incomplete markets
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
51753 2005 24 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Mathematical Economics, Volume 41, Issues 1–2, February 2005, Pages 43–66

ترجمه کلمات کلیدی
امور مالی تکاملی؛ تئوری پرتفوی؛ انتخاب بازار؛ بازارهای ناقص
کلمات کلیدی انگلیسی
D52; D81; D83; G11Evolutionary finance; Portfolio theory; Market selection; Incomplete markets
پیش نمایش مقاله
پیش نمایش مقاله  ثبات تکاملی از قوانین نمونه کارها در بازارهای ناقص

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.