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Title: Four essays on evolutionary portfolio theory
Author: Belkov, Sergei
ISNI:       0000 0004 8504 4511
Awarding Body: University of Manchester
Current Institution: University of Manchester
Date of Award: 2019
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Evolutionary behavioural finance (EBF) explores the financial markets as biological systems. Evolutionary process is realized through the interaction between the investment strategies leading to redistribution of the market wealth. Survival is one of the key questions in the analysis of the market selection process. The thesis develops four models using the EBF framework. The models address the following problems: 1) including the riskless asset into the market with short-lived assets; 2) allowing for short selling in the market with short-lived assets; 3) allowing for short selling in the market with long-lived, dividend-paying assets and 4) studying a market with short-lived assets from a game-theoretic perspective with the focus on the analysis of Nash equilibrium properties of survival portfolio rules. In all four cases existence of survival strategies is proved and explicit formulas for such strategies are provided. For the models with short-lived assets it is also shown that the survival strategy is asymptotically unique in a certain class of strategies.
Supervisor: Evstigneev, Igor ; Peskir, Goran Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: Evolutionary finance ; Survival portfolio rules ; Random dynamical systems ; mathematical economics