User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Buchmann, B. and Weber, S. 
Title:
A continuous time approximation of an evolutionary stock market model 
Abstract:
We derive a continuous time approximation of the evolutionary market selection model of Blume & Easley (1992). Conditions on the payoff structure of the assets are identified that guarantee convergence. We show that the continuous time approximation equals the solution of an integral equation in a random environment. For constant asset returns, the integral equation reduces to an autonomous ordinary differential equation. We analyze its long-run asymptotic behavior using techniques related to Lyapunov functions, and compare our results to the benchmark of profit-maximizing investors. 
Keywords:
Portfolio theory, evolutionary finance, continuous time Euler approximation, stochastic processes in random environments, Lyapunov function 
Journal title:
Int. J. Theor. Appl. Finance. 
Year:
2007 
Journal volume:
10 
Journal issue:
Pages contribution:
1229-1253 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Semester:
SS 07 
Format:
Text