Globally evolutionarily stable portfolio rules

• 成果类型: Article
• 署名作者: Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppe, Klaus Reiner
• 署名单位: University of Leeds; University of Manchester; University of Zurich; University of Leeds
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2007.09.005
• 发表日期: 2008
• 页码: 197-228
• 关键词: evolutionary finance; wealth dynamics; survival and extinction of portfolio rules; evolutionary stability; Kelly rule

摘要

The paper examines a dynamic model of a financial market with endogenous asset prices determined by short-run equilibrium of supply and demand. Assets pay dividends that are partially consumed and partially reinvested. The traders use fixed-mix investment strategies (portfolio rules), distributing their wealth between assets in fixed proportions. Our main goal is to identify globally evolutionarily stable strategies, allowing an investor to survive, i.e., to accumulate in the long run a positive share of market wealth, regardless of the initial state of the market. It is shown that there is a unique portfolio rule with this property-an analogue of the famous Kelly rule of betting your beliefs. A game theoretic interpretation of this result is given. (c) 2007 Elsevier Inc. All rights reserved.