A Continuous Time Approximation of an Evolutionary Stock Market Model

We derive a continuous time approximation of the evolutionary market selection model of Blume amp; Easley (1992). Conditions on the payoff structure of the assets are identified that guarantee convergence. We show that the continuous time approximation equals the solution of an integral equation in a random environment. For constant asset returns, the integral equation reduces to an autonomous ordinary differential equation. We analyze its long-run asymptotic behavior using techniques related to Lyapunov functions, and compare our results to the benchmark of profit-maximizing investors

Year of publication:	[2004]
Authors:	Weber, Stefan
Other Persons:	Buchmann, Boris (contributor)
Publisher:	[2004]: [S.l.] : SSRN

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