Igor V. Evstigneev

University of Manchester - Economics, School of Social Sciences

Oxford Road

Manchester, M13 9PL

United Kingdom

http://www.evstigneev.net

  • University of Manchester - Economics, School of Social Sciences

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SCHOLARLY PAPERS

30

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174

Scholarly Papers (30)

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1.

Evolutionary Finance

Swiss Finance Institute Research Paper No. 08-14
Number of pages: 60 Posted: 04 Jul 2008 Last Revised: 17 Dec 2008
Igor V. Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and The University of Manchester - Department of Economics
Downloads 1,602 (25,010)
Citation 6

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Evolutionary Finance, Wealth Dynamics, Market Interaction

2.

The Joy of Volatility

FINRISK Working Paper No. 374
Number of pages: 6 Posted: 28 Apr 2007
M. A. H. Dempster, Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Cambridge - Centre for Financial Research, University of Manchester - Economics, School of Social Sciences and The University of Manchester - Department of Economics
Downloads 1,187 (38,959)

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Volatility, capital growth, investment, constant proportions strategies

3.

From Rags to Riches: On Constant Proportions Investment Strategies

IEER Working Paper No. 89
Number of pages: 16 Posted: 17 Oct 2001
Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences and The University of Manchester - Department of Economics
Downloads 990 (50,513)
Citation 35

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4.

Growing Wealth with Fixed-Mix Strategies

Swiss Finance Institute Research Paper No. 09-37
Number of pages: 34 Posted: 28 Sep 2009 Last Revised: 14 Dec 2009
M. A. H. Dempster, Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Cambridge - Centre for Financial Research, University of Manchester - Economics, School of Social Sciences and The University of Manchester - Department of Economics
Downloads 844 (62,970)
Citation 2

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Volatility, Constant proportions strategies, Fixed-mix strategies, Financial markets, Investment, Exponential growth, Transaction costs

5.

Evolutionary Behavioural Finance

Swiss Finance Institute Research Paper No. 15-16
Number of pages: 29 Posted: 06 Jun 2015
Igor V. Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and The University of Manchester - Department of Economics
Downloads 679 (83,724)

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6.

Market Selection and Survival of Investment Strategies

Zurich IEER Working Paper No. 91
Number of pages: 23 Posted: 14 Nov 2001
Rabah Amir, Klaus Reiner Schenk-Hoppé, Igor V. Evstigneev and Thorsten Hens
University of Arizona - Department of Economics, The University of Manchester - Department of Economics, University of Manchester - Economics, School of Social Sciences and University of Zurich - Department of Banking and Finance
Downloads 625 (93,051)
Citation 41

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evolutionary finance, portfolio theory, investment strategies, CAPM, market selection, incomplete markets

7.

Exponential Growth of Fixed-Mix Strategies in Stationary Asset Markets

U of Cambridge Working Paper No. WP 01/2002
Number of pages: 16 Posted: 11 Apr 2002
M. A. H. Dempster, Klaus Reiner Schenk-Hoppé and Igor V. Evstigneev
University of Cambridge - Centre for Financial Research, The University of Manchester - Department of Economics and University of Manchester - Economics, School of Social Sciences
Downloads 570 (104,692)
Citation 3

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Asset allocation, Fixed-mix strategies, Stationary markets, Exponential growth, Products of random matrices, Stochastic version of the Perron-Frobenius theorem

8.

Market Selection of Financial Trading Strategies: Global Stability

Zurich IEER Working Paper No. 83, Finrisk Working Paper No. 11
Number of pages: 17 Posted: 08 Aug 2001
Igor V. Evstigneev, Klaus Reiner Schenk-Hoppé and Thorsten Hens
University of Manchester - Economics, School of Social Sciences, The University of Manchester - Department of Economics and University of Zurich - Department of Banking and Finance
Downloads 537 (112,835)
Citation 34

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Evolutionary finance, market selection, incomplete markets, Kelly rule

9.

Asset Market Games of Survival: A Synthesis of Evolutionary and Dynamic Games

Downloads 531 (114,410)
Citation 10

Asset Market Games of Survival: A Synthesis of Evolutionary and Dynamic Games

Swiss Finance Institute Research Paper No. 08-31
Number of pages: 34 Posted: 27 Oct 2008 Last Revised: 10 Jan 2011
Rabah Amir, Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Arizona - Department of Economics, University of Manchester - Economics, School of Social Sciences and The University of Manchester - Department of Economics
Downloads 460 (134,571)
Citation 9

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evolutionary finance, dynamic games, stochastic games, evolutionary game theory, games of survival.

Asset Market Games of Survival

EFA 2009 Bergen Meetings Paper
Number of pages: 15 Posted: 17 Feb 2009
Rabah Amir, Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Arizona - Department of Economics, University of Manchester - Economics, School of Social Sciences and The University of Manchester - Department of Economics
Downloads 71 (721,655)
Citation 1

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evolutionary finance, dynamic games, stochastic games, games of survival

10.

Volatility-Induced Financial Growth

FINRISK Working Paper No. 131
Number of pages: 23 Posted: 14 Jun 2007
M. A. H. Dempster, Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Cambridge - Centre for Financial Research, University of Manchester - Economics, School of Social Sciences and The University of Manchester - Department of Economics
Downloads 523 (116,584)
Citation 3

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Volatility, constant proportions strategies, financial markets, investment, exponential growth, transaction costs

11.

Evolutionary Finance and Dynamic Games

Swiss Finance Institute Research Paper No. 09-49
Number of pages: 39 Posted: 25 Jan 2010
Rabah Amir, Igor V. Evstigneev, Thorsten Hens and Le Xu
University of Arizona - Department of Economics, University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and The University of Manchester
Downloads 468 (133,369)
Citation 4

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evolutionary finance, dynamic games, stochastic games, survival strategies

12.

Survival and Evolutionary Stability of the Kelly Rule

Swiss Finance Institute Research Paper No. 09-32
Number of pages: 17 Posted: 07 Sep 2009
Igor V. Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and The University of Manchester - Department of Economics
Downloads 430 (147,375)
Citation 5

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evolutionary finance, wealth dynamics, survival and extinction of portfolio rules, evolutionary stability, Kelly rule

13.

Local Stability Analysis of a Stochastic Evolutionary Financial Market Model with a Risk-free Asset

Swiss Finance Institute Research Paper No. 10-36
Number of pages: 26 Posted: 04 Sep 2010 Last Revised: 17 Nov 2011
Igor V. Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and The University of Manchester - Department of Economics
Downloads 351 (185,083)
Citation 2

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Evolutionary finance, risk-free asset, local stability, linearization, random dynamical systems

14.

An Evolutionary Finance Model with a Risk-Free Asset

Swiss Finance Institute Research Paper No. 17-26
Number of pages: 25 Posted: 28 Sep 2017 Last Revised: 18 May 2020
Sergei Belkov, Igor V. Evstigneev and Thorsten Hens
The University of Manchester, University of Manchester - Economics, School of Social Sciences and University of Zurich - Department of Banking and Finance
Downloads 332 (196,700)

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Evolutionary finance, Survival portfolio rules, Risk-free asset, Numeraire, Random dynamical systems.

15.

The Von Neumann-Gale Growth Model and its Stochastic Generalization

National Centre of Competence in Research FINRISK Working Paper No. 208
Number of pages: 48 Posted: 09 Mar 2006
Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences and The University of Manchester - Department of Economics
Downloads 267 (247,540)
Citation 2

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von Neumann-Gale model, stochastic generalization, financial applications

16.

Evolutionary Stable Stock Markets

Zurich IEER Working Paper No. 170
Number of pages: 25 Posted: 04 Dec 2003
Igor V. Evstigneev, Klaus Reiner Schenk-Hoppé and Thorsten Hens
University of Manchester - Economics, School of Social Sciences, The University of Manchester - Department of Economics and University of Zurich - Department of Banking and Finance
Downloads 267 (247,540)
Citation 11

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evolutionary finance, portfolio theory, incomplete markets

17.

Nash Equilibrium Strategies and Survival Portfolio Rules in Evolutionary Models of Asset Markets

Swiss Finance Institute Research Paper No. 17-17
Number of pages: 20 Posted: 15 Aug 2017
Sergei Belkov, Igor V. Evstigneev, Thorsten Hens and Le Xu
The University of Manchester, University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and The University of Manchester
Downloads 266 (248,435)

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Stochastic games. Evolutionary finance. Capital growth theory. Random dynamical systems.

18.

Globally Evolutionarily Stable Portfolio Rules

FINRISK Working Paper No. 238
Number of pages: 43 Posted: 20 Sep 2005 Last Revised: 23 Nov 2007
Igor V. Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and The University of Manchester - Department of Economics
Downloads 263 (251,307)
Citation 4

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Evolutionary Finance, Wealth Dynamics, Survival and Extinction of Portfolio Rules, Evolutionary Stability, Kelly Rule

19.

An Evolutionary Finance Model with Short Selling and Endogenous Asset Supply

Swiss Finance Institute Research Paper No. 17-28
Number of pages: 29 Posted: 13 Oct 2017 Last Revised: 18 May 2020
Rabah Amir, Sergei Belkov, Igor V. Evstigneev and Thorsten Hens
University of Iowa - Henry B. Tippie College of Business - Department of Economics, The University of Manchester, University of Manchester - Economics, School of Social Sciences and University of Zurich - Department of Banking and Finance
Downloads 256 (258,313)
Citation 2

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Evolutionary finance, Survival portfolio rules, Market games, Stochastic games

20.

Arbitrage in Stationary Markets

Swiss Finance Institute Research Paper No. 07-32
Number of pages: 12 Posted: 09 Oct 2007
Igor V. Evstigneev and Dhruv Kapoor
University of Manchester - Economics, School of Social Sciences and affiliation not provided to SSRN
Downloads 244 (271,008)
Citation 1

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Stationary markets, Arbitrage, Volatility-induced growth

21.

Behavioral Equilibrium and Evolutionary Dynamics in Asset Markets

Swiss Finance Institute Research Paper No. 20-19, Forthcoming, Journal of Mathematical Economics
Number of pages: 41 Posted: 09 Apr 2020 Last Revised: 14 Sep 2020
Igor V. Evstigneev, Thorsten Hens, Valeriya Potapova and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance, The University of Manchester - Department of Economics and The University of Manchester - Department of Economics
Downloads 231 (286,061)
Citation 2

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Evolutionary finance, Behavioral finance, Stochastic dynamic games, DSGE, survival portfolio rules.

22.

Behavioral Finance through the Lens of Evolution: "Survival of the Fittest" for Portfolio Rules

Swiss Finance Institute Research Paper No. 23-72
Number of pages: 24 Posted: 01 Sep 2023 Last Revised: 05 Sep 2023
Igor V. Evstigneev, Thorsten Hens, Mohammad Javad Vanaei and Mikhail Zhitlukhin
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance, The University of Manchester and Steklov Mathematical Institute
Downloads 230 (287,242)
Citation 1

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Evolutionary Finance, Behavioral Finance, Stochastic dynamic games, DSGE, Survival portfolio rules

23.

Strategies of Survival in Dynamic Asset Market Games

Swiss Finance Institute Research Paper No. 08-41
Number of pages: 28 Posted: 08 Dec 2008
Rabah Amir, Igor V. Evstigneev and Le Xu
University of Arizona - Department of Economics, University of Manchester - Economics, School of Social Sciences and The University of Manchester
Downloads 155 (411,529)
Citation 2

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evolutionary finance, dynamic games, stochastic games, survival strategies

24.

Evolutionary Finance: A Model With Endogenous Asset Payoffs

Swiss Finance Institute Research Paper No. 22-96
Number of pages: 36 Posted: 22 Dec 2022 Last Revised: 12 May 2023
Igor V. Evstigneev, Thorsten Hens and Mohammad Javad Vanaei
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and The University of Manchester
Downloads 152 (418,341)

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Evolutionary Finance, endogenous asset payoffs.

25.

Von Neumann-Gale Model, Market Frictions, and Capital Growth

Number of pages: 40 Posted: 15 Jan 2019
Esmaeil Babaei, Igor V. Evstigneev, Klaus Reiner Schenk-Hoppé and Mikhail Zhitlukhin
University of Manchester, Faculty of Humanities, School of Social Sciences, Department of Economics, Students, University of Manchester - Economics, School of Social Sciences, The University of Manchester - Department of Economics and Steklov Mathematical Institute
Downloads 147 (432,230)
Citation 1

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capital growth theory, transaction costs, benchmark strategies, numeraire portfolios, random dynamical systems, convex multivalued operators, von Neumann-Gale dynamical systems, rapid paths

26.

Stochastic Equilibria in Von Neumann-Gale Dynamical Systems

Number of pages: 21 Posted: 03 Nov 2006
Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences and The University of Manchester - Department of Economics
Downloads 117 (515,035)
Citation 1

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Random dynamical systems, convex multivalued operators, von Neumann-Gale model, rapid paths, convex duality, stochastic equilibrium

27.

Capital Growth under Transaction Costs: An Analysis Based on the Von Neumann-Gale Model

Swiss Finance Institute Research Paper No. 08-07
Number of pages: 18 Posted: 30 Apr 2008
Wael Bahsoun, Igor V. Evstigneev and Michael I. Taksar
The University of Manchester, University of Manchester - Economics, School of Social Sciences and University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 114 (525,271)

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capital growth theory, transaction costs, numeraire portfolios, random dynamical systems, convex multivalued operators, von Neumann-Gale model, rapid paths

28.

Unbeatable Strategies

Economics Discussion Paper Series, University of Manchester, EDP 2101, 2021, Revised July 2023
Number of pages: 33 Posted: 10 Aug 2022 Last Revised: 26 Jul 2023
Rabah Amir, Igor V. Evstigneev and Valeriya Potapova
University of Iowa - Henry B. Tippie College of Business - Department of Economics, University of Manchester - Economics, School of Social Sciences and The University of Manchester - Department of Economics
Downloads 108 (546,794)

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Unbeatable strategy, survival strategy, evolutionary game theory

29.

Pure and Randomized Equilibria in the Stochastic Von Neumann-Gale Model

University of Manchester Economics Discussion Paper No. EDP-0603
Number of pages: 25 Posted: 02 Mar 2006
Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences and The University of Manchester - Department of Economics
Downloads 85 (640,870)
Citation 2

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C61, C62, O41

30.

Evolution in Pecunia

Swiss Finance Institute Research Paper 20-44
Number of pages: 32 Posted: 05 Jun 2020 Last Revised: 14 Nov 2022
Rabah Amir, Igor V. Evstigneev, Thorsten Hens, Valeriya Potapova and Klaus Reiner Schenk-Hoppé
University of Iowa - Henry B. Tippie College of Business - Department of Economics, University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance, The University of Manchester - Department of Economics and The University of Manchester - Department of Economics
Downloads 46 (881,953)

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Evolutionary finance, financial markets, evolutionarily stable investment strategies, survival, stochastic dynamics, local stability