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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Behavioral Equilibrium and Evolutionary Dynamics in Asset Markets |
| 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 | Journal of Mathematical Economics |
| Publisher | Elsevier |
| Geographical Reach | international |
| ISSN | 0304-4068 |
| Volume | 91 |
| Page Range | 121 - 135 |
| Date | 2020 |
| Abstract Text | 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. |
| Free access at | DOI |
| Official URL | https://www.sciencedirect.com/science/article/pii/S0304406820301014?casa_token=UvfKd3JZBlgAAAAA:F40mtHUMLkzfr-39f9_Yma_tRT0-ewIig_tQK6wHOQfP8xmrJhnLGDKxUpwaVHxQj77fGyAGMRk |
| Related URLs |
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| Digital Object Identifier | 10.1016/j.jmateco.2020.09.004 |
| Other Identification Number | merlin-id:19920 |
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