Arthur Lewis Building
Manchester, M13 9PL
University of Manchester - Department of Economics
Norwegian School of Economics (NHH) - Department of Finance
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Portfolio theory, evolutionary finance, incomplete markets
Detrending, Business Cycles, Random Dynamical Systems
Evolutionary Finance, Wealth Dynamics, Market Interaction
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Locally risk-minimizing hedge, delta hedge, stochastic volatility,
Solow Growth Model; Random Dynamical Systems; Random Fixed Points; Ergodic Markov Equilibria
Volatility, capital growth, investment, constant proportions strategies
Stochastic Solow model, Golden Rule, random fixed points, random dynamical systems.
evolutionary finance, portfolio theory, investment strategies, CAPM, market selection, incomplete markets
Asset allocation, Fixed-mix strategies, Stationary markets, Exponential growth, Products of random matrices, Stochastic version of the Perron-Frobenius theorem
Evolutionary finance, market selection, incomplete markets, Kelly rule
File name: mafi145.
Microeconomic models of money, stochastic preferences, fix-price equilibria, rationing, dynamics of money distributions
Volatility, Constant proportions strategies, Fixed-mix strategies, Financial markets, Investment, Exponential growth, Transaction costs
evolutionary finance, dynamic games, stochastic games, evolutionary game theory, games of survival.
evolutionary finance, dynamic games, stochastic games, games of survival
Evolutionary Finance, Behavioral Finance, CAPM, Rebalancing Rules, Growth Optimal Portfolio
Evolutionary finance, portfolio choice, asset pricing, genetic programming
Stochastic volatility models, incomplete markets, Delta hedging, locally R-minimizing hedging strategies, Malliavin calculus
Volatility, constant proportions strategies, financial markets, investment, exponential growth, transaction costs
financial regulation, portfolio management, market microstructure
overlapping generations, real business cycles, technology shocks, random dynamical
micro foundations of money, optimal quantity of money
micro foundations of money, optimal, quantity of money
evolutionary finance, market interaction, wealth dynamics, self-financing strategies, endogenous prices
Firm life cycle; financing constraints; additive production shock; optimal dividend and investment policy.
Cobweb model, rational beliefs, rational expectations
evolutionary finance, wealth dynamics, survival and extinction of portfolio rules, evolutionary stability, Kelly rule
Evolutionary finance, risk-free asset, local stability, linearization, random dynamical systems
S-shaped stochastic law of motion, random dynamical systems, poverty traps, business cycles, production shocks
Order book markets, stylised facts, market mechanism, strategic behaviour, price dynamics, order flow behaviour, Limit order book, order behaviour
demand for money, portfolio theory, evolutionary finance
Finance, Profitability Forecasting, Bootstrapping, Customer Lifetime Value, CLV Models, Customer Relationship Management
evolutionary finance, wealth dynamics, endogenous asset prices, random dynamical systems
Microeconomic foundation of money, optimum quantity of money, experimental monetary economics
Emerging markets, sovereign default, rating transitions, yield spreads, default premia
Evolutionary Finance, Wealth Dynamics, Survival and Extinction of Portfolio Rules, Evolutionary Stability, Kelly Rule
evolutionary finance, portfolio theory, incomplete markets
von Neumann-Gale model, stochastic generalization, financial applications
Portfolio choice, State-dependent drift, Transaction costs, Numerical methods, Dynamic programming
Emerging market debt, yield spreads, Eurobonds, market risks
Financial regulation, stock markets, transaction taxes
Value Premium, Evolutionary Finance
Ramsey growth model; prospect theory; loss aversion; optimal consumption
Skills, market fragmentation, volatility, market resilience
Random dynamical systems, convex multivalued operators, von Neumann-Gale model, rapid paths, convex duality, stochastic equilibrium
Two-sector endogenous growth model, technology shock, frictions, Runge-Kutta parallel-shooting algorithm.
C61, C62, O41
Grant applications, peer review, costing, externality
Portfolio management, agent-based financial market, evolutionary finance, flow of funds
Margin Trading; Short Selling; Brokers; Evolutionary Finance
Front running; HFT; market quality
Hedging, transaction costs, closed-form approximations, genetic programming
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