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Contribution Details

Type Journal Article
Scope Discipline-based scholarship
Title Evolutionary Finance: A model with endogenous asset payoffs
Organization Unit
  • Igor V Evstigneev
  • Thorsten Hens
  • Mohammad Javad Vanaei
Item Subtype Original Work
Refereed Yes
Status Published in final form
  • English
Journal Title Journal of Bioeconomics
Publisher Springer
Geographical Reach international
ISSN 1387-6996
Volume 25
Page Range 117 - 143
Date 2023
Abstract Text Evolutionary Finance (EF) explores financial markets as evolving biological systems. Investors pursuing diverse investment strategies compete for the market capital. Some "survive" and some "become extinct". A central goal is to identify evolutionary stable (in one sense or another) investment strategies. The problem is analyzed in a framework combining stochastic dynamics and evolutionary game theory. Most of the models currently considered in EF assume that asset payo¤s are exogenous and depend only on the underlying stochastic process of states of the world. The present work develops a model where the payo¤s are endogenous: they depend on the share of total market wealth invested in the asset.
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Digital Object Identifier 10.1007/s10818-023-09335-9
Other Identification Number merlin-id:23724
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Additional Information Bereits als Working Paper in Swiss Finance Institute Research Paper erschienen: