Behavioral Equilibrium and Evolutionary Dynamics in Asset Markets

I. Evstigneev, T. Hens, V. Potapova, K. Schenk-Hoppé
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引用次数: 10

Abstract

Abstract This paper analyzes a dynamic stochastic equilibrium model of an asset market based on behavioral and evolutionary principles. The core of the model is a non-traditional game-theoretic framework combining elements of stochastic dynamic games and evolutionary game theory. Its key characteristic feature is that it relies only on objectively observable market data and does not use hidden individual agents’ characteristics (such as their utilities and beliefs). A central goal of the study is to identify an investment strategy that allows an investor to survive in the market selection process, i.e., to keep with probability one a strictly positive, bounded away from zero share of market wealth over an infinite time horizon, irrespective of the strategies used by the other players. The main results show that under very general assumptions, such a strategy exists, is asymptotically unique and easily computable.
资产市场的行为均衡和进化动力学
摘要基于行为原理和进化原理,分析了资产市场的动态随机均衡模型。该模型的核心是一个结合随机动态博弈和进化博弈元素的非传统博弈论框架。它的关键特征是,它只依赖于客观可观察的市场数据,而不使用隐藏的个体代理人的特征(例如他们的效用和信念)。本研究的一个中心目标是确定一种投资策略,使投资者能够在市场选择过程中生存下来,即在无限的时间范围内保持概率1为严格的正,远离市场财富的零份额,而不考虑其他参与者使用的策略。主要结果表明,在非常一般的假设下,这种策略是存在的,是渐近唯一的,并且易于计算的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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