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Survival strategies in an evolutionary finance model with endogenous asset payoffs

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Abstract

Evolutionary Finance explores financial markets as evolving biological systems. Investors pursuing diverse investment strategies compete for the market capital. Some “survive” and some “become extinct”. A central goal is to identify strategies guaranteeing survival in the market selection process. The problem is analyzed in frameworks combining stochastic dynamic games and evolutionary game theory. Most of the models currently considered in the field assume that asset payoffs are exogenous and depend only on the underlying stochastic process of states of the world. The present work examines a model where the payoffs are endogenous: they depend on the share of total market wealth invested in the asset.

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Funding

The work of M. V. Zhitlukhin was performed at the Steklov International Mathematical Center and supported by the Ministry of Science and Higher Education of the Russian Federation (agreement no. 075-15-2022-265).

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Evstigneev, I.V., Tokaeva, A.A., Vanaei, M.J. et al. Survival strategies in an evolutionary finance model with endogenous asset payoffs. Ann Oper Res (2023). https://doi.org/10.1007/s10479-023-05689-5

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