Journal article
An evolutionary finance model with short selling and endogenous asset supply
Economic theory, Vol.73(2-3), pp.655-677
04/01/2022
DOI: 10.1007/s00199-020-01269-x
Abstract
Evolutionary finance focuses on questions of "survival and extinction" of investment strategies (portfolio rules) in the market selection process. It analyzes stochastic dynamics of financial markets in which asset prices are determined endogenously by a short-run equilibrium between supply and demand. Equilibrium is formed in each time period in the course of interaction of portfolio rules of competing market participants. A comprehensive theory of evolutionary dynamics of this kind has been developed for models in which short selling is not allowed and asset supply is exogenous. The present paper extends the theory to a class of models with short selling and endogenous asset supply.
Details
- Title: Subtitle
- An evolutionary finance model with short selling and endogenous asset supply
- Creators
- Rabah Amir - University of IowaSergei Belkov - University of ManchesterIgor Evstigneev - University of ManchesterThorsten Hens - Norwegian School of Economics
- Resource Type
- Journal article
- Publication Details
- Economic theory, Vol.73(2-3), pp.655-677
- DOI
- 10.1007/s00199-020-01269-x
- ISSN
- 0938-2259
- eISSN
- 1432-0479
- Publisher
- Springer Nature
- Number of pages
- 23
- Grant note
- 149856 / Swiss National Science Foundation; Swiss National Science Foundation (SNSF)
- Language
- English
- Date published
- 04/01/2022
- Academic Unit
- Economics
- Record Identifier
- 9984380397502771
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