Igor V. Evstigneev

University of Manchester - Economics, School of Social Sciences

Oxford Road

Manchester, M13 9PL

United Kingdom

http://www.evstigneev.net

SCHOLARLY PAPERS

28

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SSRN CITATIONS
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Top 4,491

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44

CROSSREF CITATIONS

222

Scholarly Papers (28)

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 University of Manchester - Department of Economics
Downloads 1,277 (16,502)
Citation 4

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Evolutionary Finance, Wealth Dynamics, Market Interaction

2.

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 University of Manchester - Department of Economics
Downloads 974 (24,726)
Citation 33

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3.

The Joy of Volatility

FINRISK Working Paper No. 374
Number of pages: 6 Posted: 28 Apr 2007
University of Cambridge - Centre for Financial Research, University of Manchester - Economics, School of Social Sciences and University of Manchester - Department of Economics
Downloads 862 (29,398)

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Volatility, capital growth, investment, constant proportions strategies

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
University of Cambridge - Centre for Financial Research, University of Manchester - Economics, School of Social Sciences and University of Manchester - Department of Economics
Downloads 660 (42,369)
Citation 2

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

5.

Market Selection and Survival of Investment Strategies

Zurich IEER Working Paper No. 91
Number of pages: 23 Posted: 14 Nov 2001
University of Arizona - Department of Economics, University of Manchester - Department of Economics, University of Manchester - Economics, School of Social Sciences and University of Zurich - Department of Banking and Finance
Downloads 615 (46,528)
Citation 43

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

6.

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
University of Cambridge - Centre for Financial Research, University of Manchester - Department of Economics and University of Manchester - Economics, School of Social Sciences
Downloads 560 (52,447)
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

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, University of Manchester - Department of Economics and University of Zurich - Department of Banking and Finance
Downloads 527 (56,043)
Citation 32

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Evolutionary finance, market selection, incomplete markets, Kelly rule

Market Selection of Financial Trading Strategies: Global Stability

Mathematical Finance, Vol. 12, pp. 329-339, 2002
Number of pages: 11 Posted: 07 Feb 2003
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 University of Manchester - Department of Economics
Downloads 18 (595,447)
Citation 2
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8.

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 University of Manchester - Department of Economics
Downloads 488 (62,437)
Citation 1

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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 University of Manchester - Department of Economics
Downloads 413 (75,807)
Citation 10

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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 University of Manchester - Department of Economics
Downloads 39 (471,715)
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
University of Cambridge - Centre for Financial Research, University of Manchester - Economics, School of Social Sciences and University of Manchester - Department of Economics
Downloads 446 (69,734)
Citation 4

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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 University of Manchester
Downloads 364 (88,502)
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 University of Manchester - Department of Economics
Downloads 330 (98,856)
Citation 4

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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 University of Manchester - Department of Economics
Downloads 306 (107,453)
Citation 2

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

14.

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 University of Manchester - Department of Economics
Downloads 194 (169,361)

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von Neumann-Gale model, stochastic generalization, financial applications

15.

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 University of Manchester - Department of Economics
Downloads 193 (170,134)
Citation 4

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

16.

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 192 (170,924)
Citation 1

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Stationary markets, Arbitrage, Volatility-induced growth

17.

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, University of Manchester - Department of Economics and University of Zurich - Department of Banking and Finance
Downloads 181 (180,286)
Citation 39

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evolutionary finance, portfolio theory, incomplete markets

18.

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
University of Manchester, University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and University of Manchester
Downloads 145 (217,605)

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

19.

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 University of Manchester
Downloads 132 (234,539)
Citation 2

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evolutionary finance, dynamic games, stochastic games, survival strategies

20.

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
University of Manchester, University of Manchester - Economics, School of Social Sciences and University of Zurich - Department of Banking and Finance
Downloads 117 (256,746)

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

21.

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, University of Manchester, University of Manchester - Economics, School of Social Sciences and University of Zurich - Department of Banking and Finance
Downloads 112 (264,814)
Citation 1

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

22.

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
University of Manchester, University of Manchester - Economics, School of Social Sciences and University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 84 (319,844)

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

23.

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 University of Manchester - Department of Economics
Downloads 70 (355,305)
Citation 1

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

24.

Behavioral Equilibrium and Evolutionary Dynamics in Asset Markets

Swiss Finance Institute Research Paper No. 20-19
Number of pages: 40 Posted: 09 Apr 2020
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance, University of Manchester - Department of Economics and University of Manchester - Department of Economics
Downloads 65 (369,450)

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

25.

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 University of Manchester - Department of Economics
Downloads 63 (375,421)
Citation 2

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C61, C62, O41

26.

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

Number of pages: 40 Posted: 15 Jan 2019
University of Manchester, Faculty of Humanities, School of Social Sciences, Department of Economics, Students, University of Manchester - Economics, School of Social Sciences, University of Manchester - Department of Economics and Steklov Mathematical Institute
Downloads 60 (384,669)

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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

27.

Evolution in Pecunia

Swiss Finance Institute Research Paper 20-44
Number of pages: 32 Posted: 05 Jun 2020 Last Revised: 10 Jun 2020
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, University of Manchester - Department of Economics and University of Manchester - Department of Economics
Downloads 24 (537,585)

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

28.

On the Fundamental Theorem of Asset Pricing: Random Constraints and Bang-Bang No-Arbitrage Criteria

Mathematical Finance, Vol. 14, No. 2, pp. 201-221, April 2004
Number of pages: 21 Posted: 06 May 2004
Igor V. Evstigneev, Klaus Schurger and Michael I. Taksar
University of Manchester - Economics, School of Social Sciences, University of Bonn - Department of Statistics and University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 13 (607,650)
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No-arbitrage criteria, portfolio constraints, supermartingale measures, bang-bang control