English, Article edition: A CONTINUOUS TIME APPROXIMATION OF AN EVOLUTIONARY STOCK MARKET MODEL BORIS BUCHMANN; STEFAN WEBER

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Bookmark: http://trove.nla.gov.au/version/83135
Physical Description
  • article
Language
  • English

Edition details

Title
  • A CONTINUOUS TIME APPROXIMATION OF AN EVOLUTIONARY STOCK MARKET MODEL
Author
  • BORIS BUCHMANN
  • STEFAN WEBER
Physical Description
  • article
Notes
  • We derive a continuous time approximation of the evolutionary market selection model of Blume and 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.
  • Portfolio theory, evolutionary finance, continuous time Euler approximation, stochastic processes in random environments, Lyapunov function
  • RePEc:wsi:ijtafx:v:10:y:2007:i:07:p:1229-1253
Language
  • English
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