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An evolutionary finance model with short selling and endogenous asset supply

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.
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https://hal-amu.archives-ouvertes.fr/hal-02617447
Contributor : Elisabeth Lhuillier <>
Submitted on : Monday, May 25, 2020 - 11:45:53 AM
Last modification on : Friday, July 17, 2020 - 8:24:23 AM

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Rabah Amir, Sergei Belkov, Igor Evstigneev, Thorsten Hens. An evolutionary finance model with short selling and endogenous asset supply. Economic Theory, Springer Verlag, In press, ⟨10.1007/s00199-020-01269-x⟩. ⟨hal-02617447⟩

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