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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | An Evolutionary Finance Model with a Risk-Free Asset |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Annals of Finance |
| Publisher | Springer |
| Geographical Reach | international |
| ISSN | 1614-2446 |
| Volume | 16 |
| Page Range | 593 - 607 |
| Date | 2020 |
| Abstract Text | The purpose of this work is to develop an evolutionary finance model with a risk-free asset playing the role of a numeraire. The model describes a market where one risk-free and several "short-lived" risky assets (securities) are traded in discrete time. The risky securities live one period, yield random payoffs at the end of it, and then are identically re-born at the beginning of the next period. The main goal of the study is to identify investment strategies that make it possible for an investor to "survive" in the market selection process. It is shown that a strategy of this kind exists, is in a sense asymptotically unique and can be described by a simple explicit formula amenable for quantitative investment analysis. |
| Related URLs | |
| Digital Object Identifier | 10.1007/s10436-020-00370-4 |
| Other Identification Number | merlin-id:19356 |
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