Equilibrium analysis in financial markets with countably many securities

Article Abstract:

The securities markets with countably many securities and arbitrary finite portfolio holdings are studied. It is assumed that each investor is restricted to have a non-negative end-of-period wealth, and there exists a non-trivial quasi-equilibria, provided the positive cone of the portfolio space is an F-cone under the portfolio dominance order.

Australia, France, Methods, Investment analysis, Securities analysis

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The asset market game

Article Abstract:

The modeling of asset markets as a game, where assets pay according to an arbitrary matrix of returns, is discussed. The stability properties of the equilibrium in an evolutionary dynamics, in which wealth flows with higher probability into those strategies that obtain higher realized payoffs, are examined.

United Kingdom

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Evolutionary stability of portfolio rules in incomplete markets

Article Abstract:

The evolution of wealth shares of portfolio rules in incomplete markets with short-lived assets is examined. The conditions for the evolutionary stability of portfolio rules are analyzed using random dynamical systems theory.

Usage, Dynamical systems

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