An evolutionary finance model with a risk-free asset

The purpose of this work is to develop an evolutionary finance model with a risk-free asset playing the role of a numeraire. The model describes a market where one risk-free and several “short-lived” risky assets (securities) are traded in discrete time. The risky securities live one period, yield r...

Full description

Saved in:
Bibliographic Details
Published in:Annals of finance 2020-12, Vol.16 (4), p.593-607
Main Authors: Belkov, Sergei, Evstigneev, Igor V., Hens, Thorsten
Format: Article
Language:English
Subjects:
Economic Theory/Quantitative Economics/Mathematical Methods
Economics and Finance
Finance
Investment policy
Macroeconomics/Monetary Economics//Financial Economics
Quantitative Finance
Research Article
Risk management
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:The purpose of this work is to develop an evolutionary finance model with a risk-free asset playing the role of a numeraire. The model describes a market where one risk-free and several “short-lived” risky assets (securities) are traded in discrete time. The risky securities live one period, yield random payoffs at the end of it, and then are re-born at the beginning of the next period. The main goal of the study is to identify investment strategies that make it possible for an investor to “survive” in the market selection process. It is shown that a strategy of this kind exists, is in a sense asymptotically unique and can be described by a simple explicit formula amenable for quantitative investment analysis.
ISSN:1614-2446
1614-2454
DOI:10.1007/s10436-020-00370-4