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Nash equilibrium strategies and survival portfolio rules in evolutionary models of asset markets

Belkov, Sergei; Evstigneev, Igor V.; Hens, Thorsten; Xu, Le - 2017

We consider a stochastic model of a financial market with one-period assets and endogenous asset prices. The model was initially developed and analyzed in the context of Evolutionary Finance with the main focus on questions of "survival and extinction" of investment strategies (portfolio rules)....

Persistent link: https://www.econbiz.de/10011761279

Asset market games of survival

Amir, Rabah; Evstigneev, Igor V.; Schenk-Hoppé, Klaus … - 2008

evolutionary solution concept (survival strategies), thereby linking two fundamental paradigms of game theory …

Persistent link: https://www.econbiz.de/10003966080

Strategies of survival in dynamic asset market games

Amir, Rabah; Evstigneev, Igor V.; Xu, Le - 2008

The paper examines a game-theoretic evolutionary model of a financial market with endogenous equilibrium asset prices. Assets pay dividends that are partially consumed and partially reinvested. The traders use general, adaptive strategies (portfolio rules), distributing their wealth between...

Persistent link: https://www.econbiz.de/10003966195

Evolutionary finance and dynamic games

Amir, Rabah; Evstigneev, Igor V.; Hens, Thorsten; Xu, Le - 2009

The paper examines a game-theoretic evolutionary model of an asset market with endogenous equilibrium asset prices. Assets pay dividends that are partially consumed and partially reinvested. The investors use general, adaptive strategies (portfolio rules), distributing their wealth between...

Persistent link: https://www.econbiz.de/10003971348

Demystifying Rebalancing Premium : A Methodological Path to Risk Premia Engineering

Dubikovsky, Vladislav - 2015

Volatility is usually considered as a synonym for risk. Mainstream financial theory states that higher portfolio … framework that encompasses various investment styles and portfolio construction methodologies. Modern Portfolio Theory is a one … theory. We show that Markowitz portfolios and Warren Buffett's investment style are valid special cases of optimal growth …

Persistent link: https://www.econbiz.de/10013018815

Robust Mean-Variance Portfolio Selection with State-Dependent Ambiguity Aversion and Risk Aversion : A Closed-loop Approach

Han, Bingyan - 2019

This paper studies a class of robust mean-variance portfolio selection problems with state-dependent risk aversion. Model uncertainty, in the sense of considering alternative dominated models, is introduced to the problem to reflect the investor's ambiguity aversion. To characterize the robust...

Persistent link: https://www.econbiz.de/10012896233

Kelly Criterion for Multivariate Portfolios : A Model-Free Approach

Nekrasov, Vasily - 2014

The Kelly criterion is a money management principle that beats any other approach in many respects. In particular, it maximizes the expected growth rate and the median of the terminal wealth. However, until recently application of the Kelly criterion to multivariate portfolios has seen little...

Persistent link: https://www.econbiz.de/10013064036

There’s No Place Like Home : The Case For and Against Extreme Home Bias in Equity Investing

White, James - 2019

For US investors, international equity exposure has never been so readily available at such a low cost. Nonetheless, surveys indicate US investors typically allocate 80–85% of their equity holdings to US equities, much higher than their proportion of global market value. In this note we...

Persistent link: https://www.econbiz.de/10012860180

Dynamic Asset Allocation Based on Valuation and Momentum Applied to a Global All-Equity Portfolio

White, James - 2020

There has been considerable research into dynamic global tactical asset allocation (GTAA) strategies driven by simple measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van Vliet 2008, Wang and Kochard 2011, Gnedenko and Yelnik...

Persistent link: https://www.econbiz.de/10012838940

To Realize, or Not to Realize? Capital Gains Tax and Portfolio Choice

White, James; Haghani, Victor - 2020

method for answering some of the important questions arising from the interaction of taxes and investing. Investment theory …

Persistent link: https://www.econbiz.de/10014352082