An evolutionary finance model with a risk-free asset

IF 0.8 Q4 BUSINESS, FINANCE

Annals of Finance Pub Date : 2020-06-24 DOI:10.1007/s10436-020-00370-4

Sergei Belkov, Igor V. Evstigneev, Thorsten Hens

引用次数: 5

Abstract

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.

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具有无风险资产的进化金融模型

这项工作的目的是开发一个由无风险资产扮演数字货币角色的进化金融模型。该模型描述了一个市场，其中一种无风险资产和几种“短命”风险资产（证券）在离散时间内进行交易。风险证券存在于一个时期，在其结束时产生随机收益，然后在下一个时期开始时再生。该研究的主要目标是确定投资策略，使投资者有可能在市场选择过程中“生存”。结果表明，这种策略是存在的，在某种意义上是渐近唯一的，并且可以用一个简单的、适用于定量投资分析的显式公式来描述。

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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来源期刊

Annals of Finance BUSINESS, FINANCE-

CiteScore

2.00

自引率

10.00%

发文量

期刊介绍： Annals of Finance provides an outlet for original research in all areas of finance and its applications to other disciplines having a clear and substantive link to the general theme of finance. In particular, innovative research papers of moderate length of the highest quality in all scientific areas that are motivated by the analysis of financial problems will be considered. Annals of Finance''s scope encompasses - but is not limited to - the following areas: accounting and finance, asset pricing, banking and finance, capital markets and finance, computational finance, corporate finance, derivatives, dynamical and chaotic systems in finance, economics and finance, empirical finance, experimental finance, finance and the theory of the firm, financial econometrics, financial institutions, mathematical finance, money and finance, portfolio analysis, regulation, stochastic analysis and finance, stock market analysis, systemic risk and financial stability. Annals of Finance also publishes special issues on any topic in finance and its applications of current interest. A small section, entitled finance notes, will be devoted solely to publishing short articles – up to ten pages in length, of substantial interest in finance. Officially cited as: Ann Finance