Evolutionary finance: a model with endogenous asset payoffs

I. V. Evstigneev (), T. Hens () and M. J. Vanaei ()
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I. V. Evstigneev: University of Manchester
T. Hens: University of Zurich
M. J. Vanaei: University of Manchester

Journal of Bioeconomics, 2023, vol. 25, issue 2, No 3, 117-143

Abstract: Abstract 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 payoffs are exogenous and depend only on the underlying stochastic process of states of the world. The present work develops a model where the payoffs are endogenous: they depend on the share of total market wealth invested in the asset.

Keywords: Evolutionary finance; Endogenous asset payoffs; Evolutionary stable strategies; D53; E21; G11 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10818-023-09335-9

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