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- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Buchmann, B. and Weber, S.
- Title:
- A continuous time approximation of an evolutionary stock market model
- Abstract:
- We derive a continuous time approximation of the evolutionary market selection model of Blume & 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.
- Keywords:
- Portfolio theory, evolutionary finance, continuous time Euler approximation, stochastic processes in random environments, Lyapunov function
- Journal title:
- Int. J. Theor. Appl. Finance.
- Year:
- 2007
- Journal volume:
- 10
- Journal issue:
- 7
- Pages contribution:
- 1229-1253
- Reviewed:
- ja
- Language:
- en
- WWW:
- http://www.worldscientific.com/doi/abs/10.1142/S0219024907004627?journalCode=ijtaf
- Status:
- Verlagsversion / published
- Semester:
- SS 07
- Format:
- Text
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