Publication: Behavioral Equilibrium and Evolutionary Dynamics in Asset Markets
Behavioral Equilibrium and Evolutionary Dynamics in Asset Markets
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Evstigneev, I., Hens, T., Potapova, V., & Schenk-Hoppé, K. R. (2020). Behavioral Equilibrium and Evolutionary Dynamics in Asset Markets. Journal of Mathematical Economics, 91, 121–135. https://doi.org/10.1016/j.jmateco.2020.09.004
Abstract
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Abstract
This paper analyzes a dynamic stochastic equilibrium model of an asset market based on behavioral and evolutionary principles. The core of the model is a non-traditional game-theoretic framework combining elements of stochastic dynamic games and evolutionary game theory. Its key characteristic feature is that it relies only on objectively observable market data and does not use hidden individual agents' characteristics (such as their utilities and beliefs). A central goal of the study is to identify an investment strategy that allows
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- Evstigneev, Igor
- Potapova, Valeriya
- Schenk-Hoppé, Klaus Reiner
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Evstigneev, I., Hens, T., Potapova, V., & Schenk-Hoppé, K. R. (2020). Behavioral Equilibrium and Evolutionary Dynamics in Asset Markets. Journal of Mathematical Economics, 91, 121–135. https://doi.org/10.1016/j.jmateco.2020.09.004
