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Igor V. Evstigneev

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Michael A.H. DEMPSTER & Igor V. EVSTIGNEEV & Klaus Reiner SCHENK-HOPPE, 2009. "Growing wealth with fixed-mix strategies," Swiss Finance Institute Research Paper Series 09-37, Swiss Finance Institute.

    Cited by:

    1. Xie, Y.L. & Li, Y.P. & Huang, G.H. & Li, Y.F., 2010. "An interval fixed-mix stochastic programming method for greenhouse gas mitigation in energy systems under uncertainty," Energy, Elsevier, vol. 35(12), pages 4627-4644.
    2. Fang-Fang Tang & Yongsheng Xu, 2021. "Corruption in Organizations: Some General Formulations and (In-)Corruptibility Results," Homo Oeconomicus: Journal of Behavioral and Institutional Economics, Springer, vol. 38(1), pages 49-57, December.
    3. Harsh V. Pant, 2013. "India in Afghanistan," Jadavpur Journal of International Relations, , vol. 17(1), pages 103-127, June.
    4. Jianghua Wu & Ananth Iyer & Paul V. Preckel & Xin Zhai, 2012. "Information Sharing Across Multiple Buyers In A Supply Chain," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 29(01), pages 1-23.
    5. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524.
    6. Genus, Audley & Stirling, Andy, 2018. "Collingridge and the dilemma of control: Towards responsible and accountable innovation," Research Policy, Elsevier, vol. 47(1), pages 61-69.

  2. Igor V. EVSTIGNEEV & Thorsten HENS & Klaus Reiner SCHENK-HOPPE, 2009. "Survival and Evolutionary Stability of the Kelly Rule," Swiss Finance Institute Research Paper Series 09-32, Swiss Finance Institute.

    Cited by:

    1. Igor V. EVSTIGNEEVY & Thorsten HENS & Klaus Reiner SCHENK-HOPPE, 2010. "An evolutionary financial market model with a risk-free asset," Swiss Finance Institute Research Paper Series 10-36, Swiss Finance Institute.
    2. Jan PALCZEWSKI & Klaus Reiner SCHENK-HOPPE, 2008. "Market Selection of Constant Proportions Investment Strategies in Continuous Time," Swiss Finance Institute Research Paper Series 08-29, Swiss Finance Institute.
    3. Sonntag, Dominik, 2018. "Die Theorie der fairen geometrischen Rendite [The Theory of Fair Geometric Returns]," MPRA Paper 87082, University Library of Munich, Germany.
    4. Palczewski, Jan & Schenk-Hoppé, Klaus Reiner, 2010. "From discrete to continuous time evolutionary finance models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 913-931, May.
    5. Binghui Wu & Tingting Duan & Jianmin He, 2018. "Dynamics Evolution of Trading Strategies of Investors in Financial Market," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 743-760, April.
    6. Andrea Antico & Giulio Bottazzi & Daniele Giachini, 2022. "On the evolutionary stability of the sentiment investor," LEM Papers Series 2022/09, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    7. H. Allen Orr, 2018. "Evolution, finance, and the population genetics of relative wealth," Journal of Bioeconomics, Springer, vol. 20(1), pages 29-48, April.

  3. Rabah AMIR & Igor V. EVSTIGNEEV & Klaus Reiner SCHENK-HOPPE, 2008. "Asset Market Games of Survival," Swiss Finance Institute Research Paper Series 08-31, Swiss Finance Institute.

    Cited by:

    1. Anufriev, Mikhail & Bottazzi, Giulio, 2010. "Market equilibria under procedural rationality," Journal of Mathematical Economics, Elsevier, vol. 46(6), pages 1140-1172, November.

  4. Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2008. "Evolutionary Finance," Swiss Finance Institute Research Paper Series 08-14, Swiss Finance Institute.

    Cited by:

    1. Anufriev, Mikhail & Bottazzi, Giulio, 2010. "Market equilibria under procedural rationality," Journal of Mathematical Economics, Elsevier, vol. 46(6), pages 1140-1172, November.
    2. Martin Hilbert, 2017. "Complementary Variety: When Can Cooperation in Uncertain Environments Outperform Competitive Selection?," Complexity, Hindawi, vol. 2017, pages 1-15, September.
    3. Cars Hommes & Florian Wagener, 2008. "Complex Evolutionary Systems in Behavioral Finance," Tinbergen Institute Discussion Papers 08-054/1, Tinbergen Institute.
    4. Igor Evstigneev & Thorsten Hens & Klaus Schenk-Hoppé, 2006. "Evolutionary stable stock markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 27(2), pages 449-468, January.
    5. Igor V. EVSTIGNEEVY & Thorsten HENS & Klaus Reiner SCHENK-HOPPE, 2010. "An evolutionary financial market model with a risk-free asset," Swiss Finance Institute Research Paper Series 10-36, Swiss Finance Institute.
    6. Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li, 2013. "An evolutionary CAPM under heterogeneous beliefs," Annals of Finance, Springer, vol. 9(2), pages 185-215, May.
    7. Anufriev, Mikhail & Bottazzi, Giulio & Marsili, Matteo & Pin, Paolo, 2012. "Excess covariance and dynamic instability in a multi-asset model," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1142-1161.
    8. Hommes, Cars & Kiseleva, Tatiana & Kuznetsov, Yuri & Verbic, Miroslav, 2012. "Is More Memory In Evolutionary Selection (De)Stabilizing?," Macroeconomic Dynamics, Cambridge University Press, vol. 16(3), pages 335-357, June.
    9. Jan PALCZEWSKI & Klaus Reiner SCHENK-HOPPE, 2008. "Market Selection of Constant Proportions Investment Strategies in Continuous Time," Swiss Finance Institute Research Paper Series 08-29, Swiss Finance Institute.
    10. Guillaume Coqueret & Bertrand Tavin, 2019. "Procedural rationality, asset heterogeneity and market selection," Post-Print hal-02312310, HAL.
    11. Palczewski, Jan & Schenk-Hoppé, Klaus Reiner, 2010. "From discrete to continuous time evolutionary finance models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 913-931, May.
    12. Coqueret, Guillaume & Tavin, Bertrand, 2019. "Procedural rationality, asset heterogeneity and market selection," Journal of Mathematical Economics, Elsevier, vol. 82(C), pages 125-149.

  5. Rabah AMIR & Igor V. EVSTIGNEEV & Le XU, 2008. "Strategies of Survival in Dynamic Asset Market Games," Swiss Finance Institute Research Paper Series 08-41, Swiss Finance Institute.

    Cited by:

    1. Anufriev, Mikhail & Bottazzi, Giulio, 2010. "Market equilibria under procedural rationality," Journal of Mathematical Economics, Elsevier, vol. 46(6), pages 1140-1172, November.

  6. Wael Bahsoun & Igor Evstigneev & Michael Taksar, 2007. "Rapid paths in von Neumann-Gale dynamical systems," Economics Discussion Paper Series 0718, Economics, The University of Manchester.

    Cited by:

    1. Wael Bahsoun & Igor Evstigneev & Michael Taksar, 2007. "Capital growth theory and von Neumann-Gale dynamics," Economics Discussion Paper Series 0720, Economics, The University of Manchester.
    2. Wael Bahsoun & Igor V. Evstigneev & Michael I. Taksar, 2009. "Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model," Papers 0909.4730, arXiv.org.

  7. Igor Evstigneev & Dhruv Kapoor, 2007. "Arbitrage in Stationary Markets," Swiss Finance Institute Research Paper Series 07-32, Swiss Finance Institute.

    Cited by:

    1. Michael A.H. Dempster & Igor V. Evstigneev & Klaus R. Schenk-Hoppé, 2006. "Volatility-Induced Financial Growth," Economics Discussion Paper Series 0626, Economics, The University of Manchester.

  8. Igor Evstigneev & Michael Taksar, 2006. "Dynamic interaction models of economic equilibrium," Economics Discussion Paper Series 0623, Economics, The University of Manchester.

    Cited by:

    1. Barunik, J. & Vosvrda, M., 2009. "Can a stochastic cusp catastrophe model explain stock market crashes?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(10), pages 1824-1836, October.

  9. I. V. Evstigneev & K. R. Schenk-Hoppé, 2006. "VPure and Randomized Equilibria in the Stochastic von Neumann-Gale model," Economics Discussion Paper Series 0603, Economics, The University of Manchester.

    Cited by:

    1. Li, Wu, 2008. "A multi-agent growth model based on the von Neumann-Leontief framework," MPRA Paper 11302, University Library of Munich, Germany.
    2. Wael Bahsoun & Igor Evstigneev & Michael Taksar, 2007. "Capital growth theory and von Neumann-Gale dynamics," Economics Discussion Paper Series 0720, Economics, The University of Manchester.
    3. Wael Bahsoun & Igor V. Evstigneev & Michael I. Taksar, 2009. "Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model," Papers 0909.4730, arXiv.org.
    4. Igor Evstigneev & Klaus Reiner Schenk-Hoppé, 2006. "Stochastic equilibria in von Neumann–Gale dynamical systems," Economics Discussion Paper Series 0620, Economics, The University of Manchester.
    5. E. Babaei & I.V. Evstigneev & K.R. Schenk-Hoppé & M.V. Zhitlukhin, 2018. "Von Neumann-Gale Dynamics, Market Frictions, and Capital Growth," Economics Discussion Paper Series 1816, Economics, The University of Manchester.

  10. Igor Evstigneev & Klaus Reiner Schenk-Hoppé, 2006. "Stochastic equilibria in von Neumann–Gale dynamical systems," Economics Discussion Paper Series 0620, Economics, The University of Manchester.

    Cited by:

    1. Wael Bahsoun & Igor Evstigneev & Michael Taksar, 2007. "Capital growth theory and von Neumann-Gale dynamics," Economics Discussion Paper Series 0720, Economics, The University of Manchester.

  11. Michael A.H. Dempster & Igor V. Evstigneev & Klaus R. Schenk-Hoppé, 2006. "Volatility-Induced Financial Growth," Economics Discussion Paper Series 0626, Economics, The University of Manchester.

    Cited by:

    1. Soumik Pal & Ting-Kam Leonard Wong, 2013. "Energy, entropy, and arbitrage," Papers 1308.5376, arXiv.org, revised Jan 2016.
    2. Jan Hendrik Witte, 2015. "Volatility Harvesting: Extracting Return from Randomness," Papers 1508.05241, arXiv.org, revised Nov 2015.
    3. Diana Barro & Elio Canestrelli & Fabio Lanza, 2014. "Volatility vs. downside risk: optimally protecting against drawdowns and maintaining portfolio performance," Working Papers 2014:18, Department of Economics, University of Venice "Ca' Foscari".
    4. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524.
    5. Igor Evstigneev & Dhruv Kapoor, 2007. "Arbitrage in Stationary Markets," Swiss Finance Institute Research Paper Series 07-32, Swiss Finance Institute.
    6. M. A. H. Dempster & E. A. Germano & M. Medova & M. I. Rietbergen & F. Sandrini & M. Scrowston & N. Zhang, 2007. "DC pension fund benchmarking with fixed-mix portfolio optimization," Quantitative Finance, Taylor & Francis Journals, vol. 7(4), pages 365-370.
    7. Sergei Belkov & Igor V. Evstigneev & Thorsten Hens, 2020. "An evolutionary finance model with a risk-free asset," Annals of Finance, Springer, vol. 16(4), pages 593-607, December.
    8. Keith Cuthbertson & Simon Hayley & Nick Motson & Dirk Nitzsche, 2016. "What Does Rebalancing Really Achieve?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(3), pages 224-240, July.
    9. Mikhail Zhitlukhin, 2020. "Asymptotic minimization of expected time to reach a large wealth level in an asset market game," Papers 2007.04909, arXiv.org.
    10. Diana Barro & Elio Canestrelli & Giorgio Consigli, 2019. "Volatility versus downside risk: performance protection in dynamic portfolio strategies," Computational Management Science, Springer, vol. 16(3), pages 433-479, July.
    11. E. Babaei & I.V. Evstigneev & K.R. Schenk-Hoppé & M.V. Zhitlukhin, 2018. "Von Neumann-Gale Dynamics and Capital Growth in Financial Markets with Frictions," Economics Discussion Paper Series 1815, Economics, The University of Manchester.
    12. Barro, Diana & Consigli, Giorgio & Varun, Vivek, 2022. "A stochastic programming model for dynamic portfolio management with financial derivatives," Journal of Banking & Finance, Elsevier, vol. 140(C).

  12. Evstigneev, Igor V. & Hens, Thorsten & Schenk-Hoppé, Klaus Reiner, 2005. "Globally Evolutionarily Stable Portfolio Rules," Discussion Papers 2005/17, Norwegian School of Economics, Department of Business and Management Science.

    Cited by:

    1. LeBaron, Blake, 2012. "Wealth dynamics and a bias toward momentum trading," Finance Research Letters, Elsevier, vol. 9(1), pages 21-28.
    2. Giulio Bottazzi & Pietro Dindo, 2010. "Evolution and market behavior with endogenous investment rules," LEM Papers Series 2010/20, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    3. Anufriev, Mikhail & Bottazzi, Giulio, 2010. "Market equilibria under procedural rationality," Journal of Mathematical Economics, Elsevier, vol. 46(6), pages 1140-1172, November.
    4. Jan Palczewsk & Klaus Reiner Schenk-Hoppé & Tongya Wang, 2015. "Itchy Feet vs Cool Heads: Flow of Funds in an Agent-based Financial Market," Economics Discussion Paper Series 1507, Economics, The University of Manchester.
    5. Giulio Bottazzi & Pietro Dindo, 2011. "Selection in asset markets: the good, the bad, and the unknown," LEM Papers Series 2011/11, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    6. Cars Hommes & Florian Wagener, 2008. "Complex Evolutionary Systems in Behavioral Finance," Tinbergen Institute Discussion Papers 08-054/1, Tinbergen Institute.
    7. Igor V. EVSTIGNEEVY & Thorsten HENS & Klaus Reiner SCHENK-HOPPE, 2010. "An evolutionary financial market model with a risk-free asset," Swiss Finance Institute Research Paper Series 10-36, Swiss Finance Institute.
    8. Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2018. "Long-run heterogeneity in an exchange economy with fixed-mix traders," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 66(2), pages 407-447, August.
    9. Rabah Amir & Igor Evstigneev & Klaus Schenk-Hoppé, 2013. "Asset market games of survival: a synthesis of evolutionary and dynamic games," Annals of Finance, Springer, vol. 9(2), pages 121-144, May.
    10. W. Bahsoun & I. Evstigneev & L. Xu, 2011. "Almost sure Nash equilibrium strategies in evolutionary models of asset markets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 73(2), pages 235-250, April.
    11. Jan PALCZEWSKI & Klaus Reiner SCHENK-HOPPE, 2008. "Market Selection of Constant Proportions Investment Strategies in Continuous Time," Swiss Finance Institute Research Paper Series 08-29, Swiss Finance Institute.
    12. Daniele Giachini, 2021. "Rationality and asset prices under belief heterogeneity," Journal of Evolutionary Economics, Springer, vol. 31(1), pages 207-233, January.
    13. Guillaume Coqueret & Bertrand Tavin, 2019. "Procedural rationality, asset heterogeneity and market selection," Post-Print hal-02312310, HAL.
    14. Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2008. "Evolutionary Finance," Swiss Finance Institute Research Paper Series 08-14, Swiss Finance Institute.
    15. Çisem Bektur, 2013. "Performance of investment strategies in the absence of correct beliefs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(1), pages 23-37, May.
    16. Palczewski, Jan & Schenk-Hoppé, Klaus Reiner, 2010. "From discrete to continuous time evolutionary finance models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 913-931, May.
    17. Hirshleifer, David & Lo, Andrew W. & Zhang, Ruixun, 2023. "Social contagion and the survival of diverse investment styles," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    18. Thomas Holtfort, 2019. "From standard to evolutionary finance: a literature survey," Management Review Quarterly, Springer, vol. 69(2), pages 207-232, June.
    19. Rabah Amir & Igor V. Evstigneev & Valeriya Potapova, 2021. "Unbeatable Strategies," Economics Discussion Paper Series 2101, Economics, The University of Manchester, revised Jul 2023.
    20. Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2019. "Momentum and reversal in financial markets with persistent heterogeneity," Annals of Finance, Springer, vol. 15(4), pages 455-487, December.
    21. Coqueret, Guillaume & Tavin, Bertrand, 2019. "Procedural rationality, asset heterogeneity and market selection," Journal of Mathematical Economics, Elsevier, vol. 82(C), pages 125-149.
    22. Serena Brianzoni & Cristiana Mammana & Elisabetta Michetti, 2010. "Updating Wealth in an Asset Pricing Model with Heterogeneous Agents," Discrete Dynamics in Nature and Society, Hindawi, vol. 2010, pages 1-27, November.
    23. Thorsten Hens & Terje Lensberg & Klaus Schenk-Hoppé & Peter Wöhrmann, 2011. "An evolutionary explanation of the value premium puzzle," Journal of Evolutionary Economics, Springer, vol. 21(5), pages 803-815, December.
    24. I. V. Evstigneev & T. Hens & M. J. Vanaei, 2023. "Evolutionary finance: a model with endogenous asset payoffs," Journal of Bioeconomics, Springer, vol. 25(2), pages 117-143, August.

  13. Igor Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2003. "Evolutionary Stable Stock Markets," Discussion Papers 03-39, University of Copenhagen. Department of Economics.

    Cited by:

    1. Anufriev, Mikhail & Bottazzi, Giulio, 2010. "Market equilibria under procedural rationality," Journal of Mathematical Economics, Elsevier, vol. 46(6), pages 1140-1172, November.
    2. LeBaron, Blake, 2012. "Heterogeneous gain learning and the dynamics of asset prices," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 424-445.
    3. Jan Palczewsk & Klaus Reiner Schenk-Hoppé & Tongya Wang, 2015. "Itchy Feet vs Cool Heads: Flow of Funds in an Agent-based Financial Market," Economics Discussion Paper Series 1507, Economics, The University of Manchester.
    4. Thorsten Hens & Klaus Reiner Schenk-Hopp� & Martin Stalder, "undated". "An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index," IEW - Working Papers 128, Institute for Empirical Research in Economics - University of Zurich.
    5. Mikhail Anufriev & Pietro Dindo, 2007. "Wealth-driven Selection in a Financial Market with Heterogeneous Agents," LEM Papers Series 2007/27, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    6. Ulrich Horst & Jan Wezelburger, 2006. "Non-ergodic Behavior in a Financial Market with Interacting Investors," 2006 Meeting Papers 229, Society for Economic Dynamics.
    7. Saroj Bhattara & Gauti Eggertsson & Raphael Schoenle, 2012. "Is Increased Price Flexibility Stabilizing? Redux," Working Papers 41, Brandeis University, Department of Economics and International Business School.
    8. Bruno S. Frey & Simon Luechinger & Alois Stutzer, 2004. "Calculating Tragedy: Assessing the Costs of Terrorism," CESifo Working Paper Series 1341, CESifo.
    9. Thorsten Hens & Klaus R. Schenk‐Hoppé, 2020. "Patience Is a Virtue: In Value Investing," International Review of Finance, International Review of Finance Ltd., vol. 20(4), pages 1019-1031, December.
    10. Igor V. EVSTIGNEEVY & Thorsten HENS & Klaus Reiner SCHENK-HOPPE, 2010. "An evolutionary financial market model with a risk-free asset," Swiss Finance Institute Research Paper Series 10-36, Swiss Finance Institute.
    11. Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2018. "Long-run heterogeneity in an exchange economy with fixed-mix traders," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 66(2), pages 407-447, August.
    12. Enrico De Giorgi, "undated". "Evolutionary Portfolio Selection with Liquidity Shocks," IEW - Working Papers 185, Institute for Empirical Research in Economics - University of Zurich.
    13. Rabah Amir & Igor Evstigneev & Klaus Schenk-Hoppé, 2013. "Asset market games of survival: a synthesis of evolutionary and dynamic games," Annals of Finance, Springer, vol. 9(2), pages 121-144, May.
    14. Mikhail Zhitlukhin, 2020. "A continuous-time asset market game with short-lived assets," Papers 2008.13230, arXiv.org.
    15. Mikhail Anufriev & Pietro Dindo, 2006. "Equilibrium Return and Agents’ Survival in a Multiperiod Asset Market: Analytic Support of a Simulation Model," Lecture Notes in Economics and Mathematical Systems, in: Charlotte Bruun (ed.), Advances in Artificial Economics, chapter 19, pages 269-282, Springer.
    16. Bruno S. Frey, 2004. "?Just Forget It?: Memory Distortion as Bounded Rationality," CREMA Working Paper Series 2005-01, Center for Research in Economics, Management and the Arts (CREMA).
    17. W. Bahsoun & I. Evstigneev & L. Xu, 2011. "Almost sure Nash equilibrium strategies in evolutionary models of asset markets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 73(2), pages 235-250, April.
    18. Evstigneev, Igor V. & Hens, Thorsten & Schenk-Hoppé, Klaus Reiner, 2005. "Globally Evolutionarily Stable Portfolio Rules," Discussion Papers 2005/17, Norwegian School of Economics, Department of Business and Management Science.
    19. Jan PALCZEWSKI & Klaus Reiner SCHENK-HOPPE, 2008. "Market Selection of Constant Proportions Investment Strategies in Continuous Time," Swiss Finance Institute Research Paper Series 08-29, Swiss Finance Institute.
    20. Daniele Giachini, 2021. "Rationality and asset prices under belief heterogeneity," Journal of Evolutionary Economics, Springer, vol. 31(1), pages 207-233, January.
    21. Lensberg, Terje & Schenk-Hoppé, Klaus Reiner, 2006. "On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach," Discussion Papers 2006/23, Norwegian School of Economics, Department of Business and Management Science.
    22. Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2008. "Evolutionary Finance," Swiss Finance Institute Research Paper Series 08-14, Swiss Finance Institute.
    23. Çisem Bektur, 2013. "Performance of investment strategies in the absence of correct beliefs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(1), pages 23-37, May.
    24. Palczewski, Jan & Schenk-Hoppé, Klaus Reiner, 2010. "From discrete to continuous time evolutionary finance models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 913-931, May.
    25. Hirshleifer, David & Lo, Andrew W. & Zhang, Ruixun, 2023. "Social contagion and the survival of diverse investment styles," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    26. Andrew W. Lo & H. Allen Orr & Ruixun Zhang, 2018. "The growth of relative wealth and the Kelly criterion," Journal of Bioeconomics, Springer, vol. 20(1), pages 49-67, April.
    27. Thomas Holtfort, 2019. "From standard to evolutionary finance: a literature survey," Management Review Quarterly, Springer, vol. 69(2), pages 207-232, June.
    28. Rabah Amir & Igor V. Evstigneev & Valeriya Potapova, 2021. "Unbeatable Strategies," Economics Discussion Paper Series 2101, Economics, The University of Manchester, revised Jul 2023.
    29. Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2019. "Momentum and reversal in financial markets with persistent heterogeneity," Annals of Finance, Springer, vol. 15(4), pages 455-487, December.
    30. Michele Berardi, 2018. "Discrete beliefs space and equilibrium: a cautionary note," Centre for Growth and Business Cycle Research Discussion Paper Series 242, Economics, The University of Manchester.
    31. Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007. "Queueing Theoretic Approaches to Financial Price Fluctuations," Papers math/0703832, arXiv.org.
    32. Anufriev, M. & Dindo, P.D.E., 2007. "Wealth Selection in a Financial Market with Heterogeneous Agents," CeNDEF Working Papers 07-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    33. Gerber, Anke & Hens, Thorsten & Woehrmann, Peter, 2005. "Dynamic General Equilibrium and T-Period Fund Separation," Discussion Papers 2005/16, Norwegian School of Economics, Department of Business and Management Science.
    34. H. Allen Orr, 2018. "Evolution, finance, and the population genetics of relative wealth," Journal of Bioeconomics, Springer, vol. 20(1), pages 29-48, April.
    35. Jonathan Newton, 2018. "Evolutionary Game Theory: A Renaissance," Games, MDPI, vol. 9(2), pages 1-67, May.
    36. Guerdjikova, Ani, 2004. "Evolution of wealth and asset prices in markets with case-based investors," Papers 04-49, Sonderforschungsbreich 504.
    37. Thorsten Hens & Terje Lensberg & Klaus Schenk-Hoppé & Peter Wöhrmann, 2011. "An evolutionary explanation of the value premium puzzle," Journal of Evolutionary Economics, Springer, vol. 21(5), pages 803-815, December.
    38. Blake LeBaron, 2011. "Active and Passive Learning in Agent-based Financial Markets," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 37(1), pages 35-43.
    39. Mikhail Zhitlukhin, 2021. "Capital growth and survival strategies in a market with endogenous prices," Papers 2101.09777, arXiv.org.

  14. AMIR, Rabah & EVSTIGNEEV, Igor & WOODERS, John, 2001. "Noncooperative versus cooperative R&D with endogenous spillover rates," LIDAM Discussion Papers CORE 2001050, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Conti, Chiara & Marini, Marco A., 2017. "Are You the Right Partner ? R&D Agreement as a Screening Device," MPRA Paper 80423, University Library of Munich, Germany.
    2. Fouad Ouardighi & Matan Shnaiderman & Federico Pasin, 2014. "Research and Development with Stock-Dependent Spillovers and Price Competition in a Duopoly," Journal of Optimization Theory and Applications, Springer, vol. 161(2), pages 626-647, May.
    3. Eren Inci, 2009. "R&D tax incentives: a reappraisal," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 16(6), pages 797-821, December.
    4. Buccella, Domenico & Fanti, Luciano & Gori, Luca, 2023. "The disclosure decision game: Subsidies and incentives for R&D activity," Mathematical Social Sciences, Elsevier, vol. 125(C), pages 11-26.
    5. Bischi, Gian Italo & Lamantia, Fabio, 2012. "A dynamic model of oligopoly with R&D externalities along networks. Part I," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 84(C), pages 51-65.
    6. Désiré Vencatachellum & Bruno Versaevel, 2005. "R&D Delegation in a Duopoly with Spillovers," Cahiers de recherche 05-01, HEC Montréal, Institut d'économie appliquée.
    7. Marie-Laure Cabon-Dhersin & Rim Lahmandi-Ayed, 2011. "R&D Organization: Cooperation or Cross-Licensing?," Post-Print hal-02358298, HAL.
    8. Ruslan Lukach & Joseph Plasmans & Peter M. Kort, 2005. "Innovation Strategies in a Competitive Dynamic Setting," CESifo Working Paper Series 1395, CESifo.
    9. Adriana Gama & Isabelle Maret & Virginie Masson, 2019. "Endogenous heterogeneity in duopoly with deterministic one-way spillovers," Annals of Finance, Springer, vol. 15(1), pages 103-123, March.
    10. Inés Macho-Stadler & Noriaki Matsushima & Ryusuke Shinohara, 2019. "Organizational structure and technological investment," ISER Discussion Paper 1069rr, Institute of Social and Economic Research, Osaka University, revised Dec 2020.
    11. Lokshin, Boris & Hagedoorn, John & Letterie, Wilko, 2011. "The bumpy road of technology partnerships: Understanding causes and consequences of partnership mal-functioning," Research Policy, Elsevier, vol. 40(2), pages 297-308, March.
    12. Thomas D. Jeitschko & Nanyun Zhang, 2012. "Adverse Effects of Patent Pooling on Product Development and Commercialization," EAG Discussions Papers 201205, Department of Justice, Antitrust Division.
    13. Jost, Peter-J., 2011. "Joint ventures in patent contests with spillovers and the role of strategic budgeting," Journal of Economics and Business, Elsevier, vol. 63(6), pages 605-637.
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    64. Fernández Gual, Verónica & Segarra Blasco, Agustí, 1958-, 2013. "The Impact of Cooperation on R&D, Innovation and Productivity: an Analysis of Spanish Manufacturing and Services Firms," Working Papers 2072/220761, Universitat Rovira i Virgili, Department of Economics.
    65. Rittwik Chatterjee & Srobonti Chattopadhyay & Tarun Kabiraj, 2018. "Spillovers and R&D Incentive under Incomplete Information," Studies in Microeconomics, , vol. 6(1-2), pages 50-65, June.
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  15. I. V. Evstigneev & M. I. Taksar, 2001. "Stochastic Economies with Locally Interacting Agents," Working Papers 01-03-018, Santa Fe Institute.

    Cited by:

    1. Horst, Ulrich & Scheinkman, Jose A., 2006. "Equilibria in systems of social interactions," Journal of Economic Theory, Elsevier, vol. 130(1), pages 44-77, September.

  16. R Amir & I Evstigneev & J Wooders, 2001. "Non-cooperative Versus Cooperative R & D with Endogenous Spillover," Economics Discussion Paper Series 0108, Economics, The University of Manchester.

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    1. Claude Crampes & Corinne Langinier, 2009. "Are Intellectual Property Rights Detrimental to Innovation?," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 16(3), pages 249-268.
    2. Crampes, Claude & Langinier, Corinne, 2003. "Following the Follower in the Innovation Game," IDEI Working Papers 216, Institut d'Économie Industrielle (IDEI), Toulouse.

  17. Evstigneev, I.V. & Flam, S.D., 2000. "Sharing Nonconvex Costs," Norway; Department of Economics, University of Bergen 1300, Department of Economics, University of Bergen.

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    1. S D Flåm & L Koutsougeras, 2005. "Private Information, Transferable Utility, and the Core," Economics Discussion Paper Series 0512, Economics, The University of Manchester.
    2. Sjur Didrik Flåm, 2002. "Pooling, Pricing and Trading of Risks," CESifo Working Paper Series 672, CESifo.
    3. S D Flåm & O Godal, 2005. "Affine Price Expectations and Equilibrium in Strategic Markets," Economics Discussion Paper Series 0505, Economics, The University of Manchester.
    4. Flåm, Sjur Didrik & Godal, Odd, 2007. "Market clearing and price formation," Working Papers in Economics 06/07, University of Bergen, Department of Economics.
    5. Flam, Sjur & Jourani, A., 2006. "Prices and Pareto Optima," Working Papers 2006:6, Lund University, Department of Economics.
    6. Sjur Didrik Flåm & Yuri Ermoliev, 2004. "Investment Uncertainty, and Production Games," CESifo Working Paper Series 1191, CESifo.
    7. Borglin, Anders & Flåm, Sjur Didrik, 2007. "Risk exchange as a market or production game," Working Papers in Economics 09/07, University of Bergen, Department of Economics.
    8. T. Ermolieva & Y. Ermoliev & M. Jonas & M. Obersteiner & F. Wagner & W. Winiwarter, 2014. "Uncertainty, cost-effectiveness and environmental safety of robust carbon trading: integrated approach," Climatic Change, Springer, vol. 124(3), pages 633-646, June.
    9. Flåm, Sjur Didrik & Jongen, Hubertus Th. & Stein, Oliver, 2007. "Slopes of Shadow Prices and Lagrange Multipliers," Working Papers in Economics 05/07, University of Bergen, Department of Economics.
    10. Wang, Xu & Zhu, Lei & Fan, Ying, 2018. "Transaction costs, market structure and efficient coverage of emissions trading scheme: A microlevel study from the pilots in China," Applied Energy, Elsevier, vol. 220(C), pages 657-671.
    11. Flåm, Sjur Didrik, 2002. "Balanced Environmental Games," Working Papers in Economics 17/02, University of Bergen, Department of Economics.
    12. Myrna Wooders, 2008. "Games with Many Players and Abstract Economies Permitting Differentiated Commodities, Clubs, and Public Goods," Vanderbilt University Department of Economics Working Papers 0813, Vanderbilt University Department of Economics.

  18. Evstigneev, I.V. & Flam, S.D., 2000. "Stochastic Programming: Non-Anticipativity and Lagrange Multipliers," Norway; Department of Economics, University of Bergen 1100, Department of Economics, University of Bergen.

    Cited by:

    1. S D Flåm & L Koutsougeras, 2005. "Private Information, Transferable Utility, and the Core," Economics Discussion Paper Series 0512, Economics, The University of Manchester.
    2. Flåm, Sjur Didrik, 2007. "Option pricing by mathematical programming," Working Papers in Economics 08/07, University of Bergen, Department of Economics.
    3. Sjur Didrik Flåm & Yuri Ermoliev, 2004. "Investment Uncertainty, and Production Games," CESifo Working Paper Series 1191, CESifo.
    4. Borglin, Anders & Flåm, Sjur Didrik, 2007. "Risk exchange as a market or production game," Working Papers in Economics 09/07, University of Bergen, Department of Economics.
    5. Igor Evstigneev & Klaus Reiner Schenk-Hoppé, 2006. "Stochastic equilibria in von Neumann–Gale dynamical systems," Economics Discussion Paper Series 0620, Economics, The University of Manchester.

  19. Rabah Amir & Igor Evstigneev & John Wooders, 2000. "Noncooperative R&D and Optimal R&D Cartels," CIE Discussion Papers 2000-09, University of Copenhagen. Department of Economics. Centre for Industrial Economics.

    Cited by:

    1. Temimi, Akram & Dakhlia, Sami & Menezes, Flavio Marques, 2001. "Duplication of R&D and industry concentration," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 437, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).

  20. Flam, S.D. & Evstigneev, I.V., 1997. "The Turnpike Property and the Central Limit Theorem in Stochastic Models of Economic Dynamics," Norway; Department of Economics, University of Bergen 171, Department of Economics, University of Bergen.

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    1. John Stachurski, 2004. "Asymptotic Statistical Properties Of The Neoclassical Optimal Growth Model," Department of Economics - Working Papers Series 898, The University of Melbourne.
    2. Stachurski, J., 2001. "Stochastic Optimal Growth with Unbounded Shock," Department of Economics - Working Papers Series 777, The University of Melbourne.
    3. Nishimura, Kazuo & Stachurski, John, 2005. "Stability of stochastic optimal growth models: a new approach," Journal of Economic Theory, Elsevier, vol. 122(1), pages 100-118, May.
    4. John Stachurski, 2003. "Stochastic growth: asymptotic distributions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 21(4), pages 913-919, June.
    5. Amir, Rabah & Evstigneev, Igor, 1999. "Stochastic Version Of Polterovich'S Model: Exponential Turnpike Theorems For Equilibrium Paths," Macroeconomic Dynamics, Cambridge University Press, vol. 3(2), pages 149-166, June.
    6. Amir, R. & Evstigneev, I. V., 2000. "A functional central limit theorem for equilibrium paths of economic dynamics," Journal of Mathematical Economics, Elsevier, vol. 33(1), pages 81-99, February.

  21. EVSTIGNEEV, Igor V. & HILDENBRAND, Werner & JERISON, Michael, 1996. "Metonymy and Cross Section Demand," LIDAM Discussion Papers CORE 1996046, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Michael Jerison & John K.-H. Quah, 2006. "Law of Demand," Discussion Papers 06-07, University at Albany, SUNY, Department of Economics.
    2. Michael Jerison, 2001. "Demand Dispersion, Metonymy and Ideal Panel Data," Discussion Papers 01-11, University at Albany, SUNY, Department of Economics.

  22. Rabah Amir & Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hopp�, "undated". "Market Selection and Survival of Investment Strategies," IEW - Working Papers 091, Institute for Empirical Research in Economics - University of Zurich.

    Cited by:

    1. Giulio Bottazzi & Pietro Dindo, 2010. "Evolution and market behavior with endogenous investment rules," LEM Papers Series 2010/20, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    2. Aleksander Berentsen & Guillaume Rocheteau, 2003. "Money and the Gains from Trade," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(1), pages 263-297, February.
    3. Anufriev, Mikhail & Bottazzi, Giulio, 2010. "Market equilibria under procedural rationality," Journal of Mathematical Economics, Elsevier, vol. 46(6), pages 1140-1172, November.
    4. Anufriev, Mikhail & Bottazzi, Giulio & Pancotto, Francesca, 2006. "Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1787-1835.
    5. Thorsten Hens & Klaus Reiner Schenk-Hopp� & Martin Stalder, "undated". "An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index," IEW - Working Papers 128, Institute for Empirical Research in Economics - University of Zurich.
    6. Berentsen Aleksander & Rocheteau Guillaume, 2003. "On the Friedman Rule in Search Models with Divisible Money," The B.E. Journal of Macroeconomics, De Gruyter, vol. 3(1), pages 1-21, December.
    7. Giulio Bottazzi & Pietro Dindo, 2011. "Selection in asset markets: the good, the bad, and the unknown," LEM Papers Series 2011/11, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    8. Cars Hommes & Florian Wagener, 2008. "Complex Evolutionary Systems in Behavioral Finance," Tinbergen Institute Discussion Papers 08-054/1, Tinbergen Institute.
    9. Aleksander Berentsen & Esther Br gger & Simon L rtscher, 2003. "On Cheating and Whistle-Blowing," Diskussionsschriften dp0302, Universitaet Bern, Departement Volkswirtschaft.
    10. Fehr, Ernst & Henrich, Joseph, 2003. "Is Strong Reciprocity a Maladaptation? On the Evolutionary Foundations of Human Altruism," IZA Discussion Papers 712, Institute of Labor Economics (IZA).
    11. Hens, Thorsten & Schenk-Hoppe, Klaus Reiner, 2005. "Evolutionary finance: introduction to the special issue," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 1-5, February.
    12. Witte, Björn-Christopher, 2012. "Fund managers - Why the best might be the worst: On the evolutionary vigor of risk-seeking behavior," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-29.
    13. Mikhail Anufriev & Giulio Bottazzi, 2005. "Price and Wealth Dynamics in a Speculative Market with an Arbitrary Number of Generic Technical Traders," LEM Papers Series 2005/06, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    14. Stefan Reimann, "undated". "On the distribution of stock-market returns - Implications of Evolutionary Finance," IEW - Working Papers 232, Institute for Empirical Research in Economics - University of Zurich.
    15. Mikhail Zhitlukhin, 2021. "Asymptotically optimal strategies in a diffusion approximation of a repeated betting game," Papers 2108.11998, arXiv.org.
    16. Reto Foellmi & Urs Meister, 2004. "Product-Market Competition in the Water Industry: Voluntary Nondiscriminatory Pricing," Working Papers 0032, University of Zurich, Institute for Strategy and Business Economics (ISU).
    17. Rabah Amir & Igor Evstigneev & Klaus Schenk-Hoppé, 2013. "Asset market games of survival: a synthesis of evolutionary and dynamic games," Annals of Finance, Springer, vol. 9(2), pages 121-144, May.
    18. Hommes, Cars H., 2006. "Heterogeneous Agent Models in Economics and Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186, Elsevier.
    19. Witte, Björn-Christopher, 2012. "Fund managers - Why the best might be the worst: On the evolutionary vigor of risk-seeking behavior," Economics Discussion Papers 2012-20, Kiel Institute for the World Economy (IfW Kiel).
    20. Rabah Amir & Sergei Belkov & Igor V. Evstigneev & Thorsten Hens, 2022. "An evolutionary finance model with short selling and endogenous asset supply," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(2), pages 655-677, April.
    21. Aleksander Berentsen & Guillaume Rocheteau, "undated". "Money and Information," IEW - Working Papers 099, Institute for Empirical Research in Economics - University of Zurich.
    22. Evstigneev, Igor V. & Hens, Thorsten & Schenk-Hoppé, Klaus Reiner, 2005. "Globally Evolutionarily Stable Portfolio Rules," Discussion Papers 2005/17, Norwegian School of Economics, Department of Business and Management Science.
    23. Lensberg, Terje & Schenk-Hoppé, Klaus Reiner, 2006. "On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach," Discussion Papers 2006/23, Norwegian School of Economics, Department of Business and Management Science.
    24. S. Reimann & A. Tupak, 2007. "Prices are macro-observables! Stylized facts from evolutionary finance," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 313-331, May.
    25. Witte, Björn-Christopher, 2011. "Fund managers - why the best might be the worst: On the evolutionary vigor of risk-seeking behavior," BERG Working Paper Series 81, Bamberg University, Bamberg Economic Research Group.
    26. Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2008. "Evolutionary Finance," Swiss Finance Institute Research Paper Series 08-14, Swiss Finance Institute.
    27. Çisem Bektur, 2013. "Performance of investment strategies in the absence of correct beliefs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(1), pages 23-37, May.
    28. Hommes, C.H., 2005. "Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd , Elsevier, Amsterdam 2006," CeNDEF Working Papers 05-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    29. Cvitanic Jaksa & Malamud Semyon, 2010. "Relative Extinction of Heterogeneous Agents," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 10(1), pages 1-23, February.
    30. Giulio Bottazzi & Daniele Giachini, 2020. "Selection in incomplete markets and the CAPM portfolio rule," LEM Papers Series 2020/29, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    31. Hirshleifer, David & Lo, Andrew W. & Zhang, Ruixun, 2023. "Social contagion and the survival of diverse investment styles," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    32. Andrew W. Lo & H. Allen Orr & Ruixun Zhang, 2018. "The growth of relative wealth and the Kelly criterion," Journal of Bioeconomics, Springer, vol. 20(1), pages 49-67, April.
    33. S D Flåm, 2005. "Portfolio Management without Probabilities or Statistics," Economics Discussion Paper Series 0508, Economics, The University of Manchester.
    34. Thomas Holtfort, 2019. "From standard to evolutionary finance: a literature survey," Management Review Quarterly, Springer, vol. 69(2), pages 207-232, June.
    35. Rabah Amir & Igor V. Evstigneev & Valeriya Potapova, 2021. "Unbeatable Strategies," Economics Discussion Paper Series 2101, Economics, The University of Manchester, revised Jul 2023.
    36. Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2019. "Momentum and reversal in financial markets with persistent heterogeneity," Annals of Finance, Springer, vol. 15(4), pages 455-487, December.
    37. Berentsen, Aleksander & Rocheteau, Guillaume, 2002. "On the efficiency of monetary exchange: how divisibility of money matters," Journal of Monetary Economics, Elsevier, vol. 49(8), pages 1621-1649, November.
    38. Jonathan Newton, 2018. "Evolutionary Game Theory: A Renaissance," Games, MDPI, vol. 9(2), pages 1-67, May.
    39. Mikhail Zhitlukhin, 2022. "A continuous-time asset market game with short-lived assets," Finance and Stochastics, Springer, vol. 26(3), pages 587-630, July.
    40. Mikhail Zhitlukhin, 2021. "Capital growth and survival strategies in a market with endogenous prices," Papers 2101.09777, arXiv.org.

  23. Igor V. Evstigneev & Klaus Rainer Schenk-Hopp�, "undated". "From Rags to Riches: On Constant Proportions Investment Strategies," IEW - Working Papers 089, Institute for Empirical Research in Economics - University of Zurich.

    Cited by:

    1. Aleksander Berentsen & Guillaume Rocheteau, 2003. "Money and the Gains from Trade," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(1), pages 263-297, February.
    2. Rama Cont & Lakshithe Wagalath, 2014. "Institutional Investors and the Dependence Structure of Asset Returns," Working Papers 2014-ACF-01, IESEG School of Management.
    3. Igor Evstigneev & Klaus Reiner Schenk-Hoppé, 2003. "Volatility-induced Growth in Financial Markets," Discussion Papers 03-40, University of Copenhagen. Department of Economics.
    4. Rama Cont & Lakshithe Wagalath, 2016. "Institutional Investors And The Dependence Structure Of Asset Returns," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-37, March.
    5. Reto Foellmi & Urs Meister, 2004. "Product-Market Competition in the Water Industry: Voluntary Nondiscriminatory Pricing," Working Papers 0032, University of Zurich, Institute for Strategy and Business Economics (ISU).
    6. Michael A.H. Dempster & Igor V. Evstigneev & Klaus R. Schenk-Hoppé, 2006. "Volatility-Induced Financial Growth," Economics Discussion Paper Series 0626, Economics, The University of Manchester.
    7. Aleksander Berentsen & Guillaume Rocheteau, "undated". "Money and Information," IEW - Working Papers 099, Institute for Empirical Research in Economics - University of Zurich.
    8. Fabio Stella & Alfonso Ventura, 2011. "Defensive online portfolio selection," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 2(1/2), pages 88-105.
    9. Igor Evstigneev & Dhruv Kapoor, 2007. "Arbitrage in Stationary Markets," Swiss Finance Institute Research Paper Series 07-32, Swiss Finance Institute.
    10. S D Flåm, 2005. "Portfolio Management without Probabilities or Statistics," Economics Discussion Paper Series 0508, Economics, The University of Manchester.
    11. Berentsen, Aleksander & Rocheteau, Guillaume, 2002. "On the efficiency of monetary exchange: how divisibility of money matters," Journal of Monetary Economics, Elsevier, vol. 49(8), pages 1621-1649, November.

  24. Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hopp�, "undated". "Market Selection of Financial Trading Strategies: Global Stability," IEW - Working Papers 083, Institute for Empirical Research in Economics - University of Zurich.

    Cited by:

    1. Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2002. "Markets Do Not Select For a Liquidity Preference as Behavior Towards Risk," Discussion Papers 02-18, University of Copenhagen. Department of Economics.
    2. Thorsten Hens & Klaus Reiner Schenk-Hopp� & Martin Stalder, "undated". "An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index," IEW - Working Papers 128, Institute for Empirical Research in Economics - University of Zurich.
    3. Cars Hommes & Florian Wagener, 2008. "Complex Evolutionary Systems in Behavioral Finance," Tinbergen Institute Discussion Papers 08-054/1, Tinbergen Institute.
    4. Igor Evstigneev & Thorsten Hens & Klaus Schenk-Hoppé, 2006. "Evolutionary stable stock markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 27(2), pages 449-468, January.
    5. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2002. "Evolutionary dynamics in markets with many trader types," CeNDEF Working Papers 02-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    6. Ma, T. & Fraser-Mackenzie, P.A.F. & Sung, M. & Kansara, A.P. & Johnson, J.E.V., 2022. "Are the least successful traders those most likely to exit the market? A survival analysis contribution to the efficient market debate," European Journal of Operational Research, Elsevier, vol. 299(1), pages 330-345.
    7. Amir, Rabah & Evstigneev, Igor V. & Hens, Thorsten & Schenk-Hoppe, Klaus Reiner, 2005. "Market selection and survival of investment strategies," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 105-122, February.
    8. Witte, Björn-Christopher, 2012. "Fund managers - Why the best might be the worst: On the evolutionary vigor of risk-seeking behavior," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-29.
    9. Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2018. "Long-run heterogeneity in an exchange economy with fixed-mix traders," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 66(2), pages 407-447, August.
    10. Stefan Reimann, "undated". "On the distribution of stock-market returns - Implications of Evolutionary Finance," IEW - Working Papers 232, Institute for Empirical Research in Economics - University of Zurich.
    11. Mikhail Zhitlukhin, 2021. "Asymptotically optimal strategies in a diffusion approximation of a repeated betting game," Papers 2108.11998, arXiv.org.
    12. Enrico De Giorgi, "undated". "Evolutionary Portfolio Selection with Liquidity Shocks," IEW - Working Papers 185, Institute for Empirical Research in Economics - University of Zurich.
    13. Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2003. "Evolutionary Stability of Portfolio Rules in Incomplete Markets," Discussion Papers 03-03, University of Copenhagen. Department of Economics.
    14. Rabah Amir & Igor Evstigneev & Klaus Schenk-Hoppé, 2013. "Asset market games of survival: a synthesis of evolutionary and dynamic games," Annals of Finance, Springer, vol. 9(2), pages 121-144, May.
    15. Hommes, Cars H., 2006. "Heterogeneous Agent Models in Economics and Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186, Elsevier.
    16. Witte, Björn-Christopher, 2012. "Fund managers - Why the best might be the worst: On the evolutionary vigor of risk-seeking behavior," Economics Discussion Papers 2012-20, Kiel Institute for the World Economy (IfW Kiel).
    17. Rabah Amir & Sergei Belkov & Igor V. Evstigneev & Thorsten Hens, 2022. "An evolutionary finance model with short selling and endogenous asset supply," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(2), pages 655-677, April.
    18. W. Bahsoun & I. Evstigneev & L. Xu, 2011. "Almost sure Nash equilibrium strategies in evolutionary models of asset markets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 73(2), pages 235-250, April.
    19. Igor V. Evstigneev & Klaus Reiner Schenk-Hoppé, 2002. "From Rags To Riches: On Constant Proportions Investment Strategies," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(06), pages 563-573.
    20. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2008. "More hedging instruments may destabilize markets," CeNDEF Working Papers 08-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    21. Evstigneev, Igor V. & Hens, Thorsten & Schenk-Hoppé, Klaus Reiner, 2005. "Globally Evolutionarily Stable Portfolio Rules," Discussion Papers 2005/17, Norwegian School of Economics, Department of Business and Management Science.
    22. Jan PALCZEWSKI & Klaus Reiner SCHENK-HOPPE, 2008. "Market Selection of Constant Proportions Investment Strategies in Continuous Time," Swiss Finance Institute Research Paper Series 08-29, Swiss Finance Institute.
    23. Lensberg, Terje & Schenk-Hoppé, Klaus Reiner, 2006. "On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach," Discussion Papers 2006/23, Norwegian School of Economics, Department of Business and Management Science.
    24. Witte, Björn-Christopher, 2011. "Fund managers - why the best might be the worst: On the evolutionary vigor of risk-seeking behavior," BERG Working Paper Series 81, Bamberg University, Bamberg Economic Research Group.
    25. Michael Brennan & Feifei Li & Walter Torous, 2005. "Dollar Cost Averaging," Review of Finance, Springer, vol. 9(4), pages 509-535, December.
    26. Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2008. "Evolutionary Finance," Swiss Finance Institute Research Paper Series 08-14, Swiss Finance Institute.
    27. Çisem Bektur, 2013. "Performance of investment strategies in the absence of correct beliefs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(1), pages 23-37, May.
    28. Hommes, C.H., 2005. "Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd , Elsevier, Amsterdam 2006," CeNDEF Working Papers 05-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    29. Witte, Björn-Christopher, 2013. "Fundamental traders' ‘tragedy of the commons’: Information costs and other determinants for the survival of experts and noise traders in financial markets," Economic Modelling, Elsevier, vol. 32(C), pages 377-385.
    30. Nina Badulina & Dmitry Shatilovich & Mikhail Zhitlukhin, 2024. "On convergence of forecasts in prediction markets," Papers 2402.16345, arXiv.org.
    31. Giulio Bottazzi & Daniele Giachini, 2020. "Selection in incomplete markets and the CAPM portfolio rule," LEM Papers Series 2020/29, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    32. Hirshleifer, David & Lo, Andrew W. & Zhang, Ruixun, 2023. "Social contagion and the survival of diverse investment styles," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    33. Andrew W. Lo & H. Allen Orr & Ruixun Zhang, 2018. "The growth of relative wealth and the Kelly criterion," Journal of Bioeconomics, Springer, vol. 20(1), pages 49-67, April.
    34. S D Flåm, 2005. "Portfolio Management without Probabilities or Statistics," Economics Discussion Paper Series 0508, Economics, The University of Manchester.
    35. Thomas Holtfort, 2019. "From standard to evolutionary finance: a literature survey," Management Review Quarterly, Springer, vol. 69(2), pages 207-232, June.
    36. Rabah Amir & Igor V. Evstigneev & Valeriya Potapova, 2021. "Unbeatable Strategies," Economics Discussion Paper Series 2101, Economics, The University of Manchester, revised Jul 2023.
    37. Michele Berardi, 2018. "Discrete beliefs space and equilibrium: a cautionary note," Centre for Growth and Business Cycle Research Discussion Paper Series 242, Economics, The University of Manchester.
    38. Mikhail Zhitlukhin, 2020. "Asymptotic minimization of expected time to reach a large wealth level in an asset market game," Papers 2007.04909, arXiv.org.
    39. Thorsten Hens & Fatemeh Naebi, 2022. "Behavioral heterogeneity in the CAPM with evolutionary dynamics," Journal of Evolutionary Economics, Springer, vol. 32(5), pages 1499-1521, November.
    40. Giulio Bottazzi & Daniele Giachini, 2018. "New Results on Betting Strategies, Market Selection, and the Role of Luck," LEM Papers Series 2018/08, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    41. Massari, Filippo, 2017. "Markets with heterogeneous beliefs: A necessary and sufficient condition for a trader to vanish," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 190-205.
    42. Mikhail Zhitlukhin, 2021. "Capital growth and survival strategies in a market with endogenous prices," Papers 2101.09777, arXiv.org.

Articles

  1. Rabah Amir & Igor Evstigneev & Klaus Schenk-Hoppé, 2013. "Asset market games of survival: a synthesis of evolutionary and dynamic games," Annals of Finance, Springer, vol. 9(2), pages 121-144, May.

    Cited by:

    1. Jan Palczewsk & Klaus Reiner Schenk-Hoppé & Tongya Wang, 2015. "Itchy Feet vs Cool Heads: Flow of Funds in an Agent-based Financial Market," Economics Discussion Paper Series 1507, Economics, The University of Manchester.
    2. Igor V. EVSTIGNEEVY & Thorsten HENS & Klaus Reiner SCHENK-HOPPE, 2010. "An evolutionary financial market model with a risk-free asset," Swiss Finance Institute Research Paper Series 10-36, Swiss Finance Institute.
    3. Hai-Chuan Xu & Wei Zhang & Xiong Xiong & Wei-Xing Zhou, 2014. "Wealth share analysis with "fundamentalist/chartist" heterogeneous agents," Papers 1405.5939, arXiv.org.
    4. Mikhail Zhitlukhin, 2021. "Asymptotically optimal strategies in a diffusion approximation of a repeated betting game," Papers 2108.11998, arXiv.org.
    5. Mikhail Zhitlukhin, 2020. "A continuous-time asset market game with short-lived assets," Papers 2008.13230, arXiv.org.
    6. Rabah Amir & Sergei Belkov & Igor V. Evstigneev & Thorsten Hens, 2022. "An evolutionary finance model with short selling and endogenous asset supply," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(2), pages 655-677, April.
    7. Yaroslav Drokin & Mikhail Zhitlukhin, 2020. "Relative growth optimal strategies in an asset market game," Annals of Finance, Springer, vol. 16(4), pages 529-546, December.
    8. Guillaume Coqueret & Bertrand Tavin, 2019. "Procedural rationality, asset heterogeneity and market selection," Post-Print hal-02312310, HAL.
    9. Igor V. Evstigneev & Thorsten Hens & Valeriya Potapova & Klaus Reiner Schenk-Hoppé, 2020. "Behavioral Equilibrium and Evolutionary Dynamics in Asset Markets," Swiss Finance Institute Research Paper Series 20-19, Swiss Finance Institute.
    10. Nina Badulina & Dmitry Shatilovich & Mikhail Zhitlukhin, 2024. "On convergence of forecasts in prediction markets," Papers 2402.16345, arXiv.org.
    11. Thomas Holtfort, 2019. "From standard to evolutionary finance: a literature survey," Management Review Quarterly, Springer, vol. 69(2), pages 207-232, June.
    12. Mikhail Zhitlukhin, 2018. "Survival investment strategies in a continuous-time market model with competition," Papers 1811.12491, arXiv.org, revised Sep 2019.
    13. Sergei Belkov & Igor V. Evstigneev & Thorsten Hens, 2020. "An evolutionary finance model with a risk-free asset," Annals of Finance, Springer, vol. 16(4), pages 593-607, December.
    14. Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2019. "Momentum and reversal in financial markets with persistent heterogeneity," Annals of Finance, Springer, vol. 15(4), pages 455-487, December.
    15. Coqueret, Guillaume & Tavin, Bertrand, 2019. "Procedural rationality, asset heterogeneity and market selection," Journal of Mathematical Economics, Elsevier, vol. 82(C), pages 125-149.
    16. Igor V. Evstigneev & Mohammad Javad Vanaei, 2022. "Evolutionary Behavioural Finance: A Model with Endogenous Asset Payoffs," Economics Discussion Paper Series 2202, Economics, The University of Manchester.
    17. Mikhail Zhitlukhin, 2020. "Asymptotic minimization of expected time to reach a large wealth level in an asset market game," Papers 2007.04909, arXiv.org.
    18. Yaroslav Drokin & Mikhail Zhitlukhin, 2019. "Relative growth optimal strategies in an asset market game," Papers 1908.01171, arXiv.org, revised Jul 2020.
    19. E. Babaei & I.V. Evstigneev & K.R. Schenk-Hoppé & M.V. Zhitlukhin, 2018. "Von Neumann-Gale Dynamics and Capital Growth in Financial Markets with Frictions," Economics Discussion Paper Series 1815, Economics, The University of Manchester.
    20. Mikhail Zhitlukhin, 2022. "A continuous-time asset market game with short-lived assets," Finance and Stochastics, Springer, vol. 26(3), pages 587-630, July.
    21. Giovanni Villani & Marta Biancardi, 2023. "An Evolutionary Game to Study Banks–Firms Relationship: Monitoring Intensity and Private Benefit," Computational Economics, Springer;Society for Computational Economics, vol. 61(3), pages 1075-1093, March.
    22. I. V. Evstigneev & T. Hens & M. J. Vanaei, 2023. "Evolutionary finance: a model with endogenous asset payoffs," Journal of Bioeconomics, Springer, vol. 25(2), pages 117-143, August.
    23. Mikhail Zhitlukhin, 2021. "Capital growth and survival strategies in a market with endogenous prices," Papers 2101.09777, arXiv.org.

  2. Igor Evstigneev & Klaus Schenk-Hoppé & William Ziemba, 2013. "Introduction: behavioral and evolutionary finance," Annals of Finance, Springer, vol. 9(2), pages 115-119, May.

    Cited by:

    1. Kavous Ardalan, 2018. "Behavioral attitudes toward current economic events: a lesson from neuroeconomics," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 53(4), pages 202-208, October.
    2. Ardalan, Kavous, 2018. "Neurofinance versus the efficient markets hypothesis," Global Finance Journal, Elsevier, vol. 35(C), pages 170-176.
    3. Thomas Holtfort, 2019. "From standard to evolutionary finance: a literature survey," Management Review Quarterly, Springer, vol. 69(2), pages 207-232, June.
    4. Xifeng Wu & Yue Shen & Jin Chen & Yu Chen, 2023. "Social–financial approach for analyzing financial transitions," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.

  3. Evstigneev, Igor & Taksar, Michael, 2009. "Dynamic interaction models of economic equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 166-182, January.
    See citations under working paper version above.
  4. Igor Evstigneev & Dhruv Kapoor, 2009. "Arbitrage in stationary markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 32(1), pages 5-12, May.
    See citations under working paper version above.
  5. M. A. H. Dempster & Igor Evstigneev & Klaus Reiner Schenk-Hoppe, 2008. "Financial markets. The joy of volatility," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 1-3.

    Cited by:

    1. Jan Hendrik Witte, 2015. "Volatility Harvesting: Extracting Return from Randomness," Papers 1508.05241, arXiv.org, revised Nov 2015.
    2. Diana Barro & Elio Canestrelli & Fabio Lanza, 2014. "Volatility vs. downside risk: optimally protecting against drawdowns and maintaining portfolio performance," Working Papers 2014:18, Department of Economics, University of Venice "Ca' Foscari".
    3. Napat Rujeerapaiboon & Daniel Kuhn & Wolfram Wiesemann, 2016. "Robust Growth-Optimal Portfolios," Management Science, INFORMS, vol. 62(7), pages 2090-2109, July.
    4. A. Christian Silva & Ju-Yi Yen, 2010. "Stochastic resonance and the trade arrival rate of stocks," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 461-466.
    5. Diana Barro & Elio Canestrelli & Giorgio Consigli, 2019. "Volatility versus downside risk: performance protection in dynamic portfolio strategies," Computational Management Science, Springer, vol. 16(3), pages 433-479, July.

  6. Evstigneev, Igor V. & Hens, Thorsten & Schenk-Hoppé, Klaus Reiner, 2008. "Globally evolutionarily stable portfolio rules," Journal of Economic Theory, Elsevier, vol. 140(1), pages 197-228, May.
    See citations under working paper version above.
  7. Evstigneev, Igor V. & Schenk-Hoppe, Klaus Reiner, 2007. "Pure and randomized equilibria in the stochastic von Neumann-Gale model," Journal of Mathematical Economics, Elsevier, vol. 43(7-8), pages 871-887, September.
    See citations under working paper version above.
  8. Michael A. H. Dempster & Igor V. Evstigneev & Klaus R. Schenk-hoppe, 2007. "Volatility-induced financial growth," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 151-160.
    See citations under working paper version above.
  9. Igor Evstigneev & Thorsten Hens & Klaus Schenk-Hoppé, 2006. "Evolutionary stable stock markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 27(2), pages 449-468, January.
    See citations under working paper version above.
  10. M. Dempster & I. Evstigneev & M. Taksar, 2006. "Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model," Annals of Finance, Springer, vol. 2(4), pages 327-355, October.

    Cited by:

    1. Teemu Pennanen, 2014. "Optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 18(4), pages 733-754, October.
    2. Ha-Young Kim & Frederi Viens, 2012. "Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility," Annals of Finance, Springer, vol. 8(2), pages 405-425, May.
    3. Nuno Palma, 2019. "Money and Modernization in Early Modern England," Economics Discussion Paper Series 1903, Economics, The University of Manchester.
    4. I. V. Evstigneev & K. R. Schenk-Hoppé, 2006. "VPure and Randomized Equilibria in the Stochastic von Neumann-Gale model," Economics Discussion Paper Series 0603, Economics, The University of Manchester.
    5. Alet Roux & Zhikang Xu, 2019. "Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs," Papers 1909.06260, arXiv.org, revised May 2021.
    6. Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Papers 0710.2758, arXiv.org.
    7. Li, Wu, 2008. "A multi-agent growth model based on the von Neumann-Leontief framework," MPRA Paper 11302, University Library of Munich, Germany.
    8. Wael Bahsoun & Igor Evstigneev & Michael Taksar, 2007. "Capital growth theory and von Neumann-Gale dynamics," Economics Discussion Paper Series 0720, Economics, The University of Manchester.
    9. Wael Bahsoun & Igor V. Evstigneev & Michael I. Taksar, 2009. "Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model," Papers 0909.4730, arXiv.org.
    10. Roux, Alet, 2011. "The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads," Journal of Mathematical Economics, Elsevier, vol. 47(2), pages 159-163, March.
    11. E. Babaei & I.V. Evstigneev & K.R. Schenk-Hoppé, 2019. "Log-Optimal and Rapid Paths in von Neumann-Gale Dynamical Systems," Economics Discussion Paper Series 1902, Economics, The University of Manchester.
    12. E. Babaei & I.V. Evstigneev & K.R. Schenk-Hoppé & M.V. Zhitlukhin, 2018. "Von Neumann-Gale Dynamics, Market Frictions, and Capital Growth," Economics Discussion Paper Series 1816, Economics, The University of Manchester.
    13. E. Babaei & I.V. Evstigneev & K.R. Schenk-Hoppé & M.V. Zhitlukhin, 2018. "Von Neumann-Gale Dynamics and Capital Growth in Financial Markets with Frictions," Economics Discussion Paper Series 1815, Economics, The University of Manchester.

  11. Amir, Rabah & Evstigneev, Igor V. & Hens, Thorsten & Schenk-Hoppe, Klaus Reiner, 2005. "Market selection and survival of investment strategies," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 105-122, February.
    See citations under working paper version above.
  12. Igor V. Evstigneev & Klaus Schürger & Michael I. Taksar, 2004. "On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 201-221, April.

    Cited by:

    1. Fontana, Claudio & Runggaldier, Wolfgang J., 2021. "Arbitrage concepts under trading restrictions in discrete-time financial markets," Journal of Mathematical Economics, Elsevier, vol. 92(C), pages 66-80.
    2. Takuji Arai, 2015. "Good deal bounds with convex constraints," Papers 1506.00396, arXiv.org.
    3. Claudio Fontana & Wolfgang J. Runggaldier, 2020. "Arbitrage concepts under trading restrictions in discrete-time financial markets," Papers 2006.15563, arXiv.org, revised Sep 2020.
    4. Takuji Arai, 2016. "Good deal bounds with convex constraints: --- examples and proofs ---," Keio-IES Discussion Paper Series 2016-017, Institute for Economics Studies, Keio University.
    5. Teemu Pennanen, 2011. "Arbitrage and deflators in illiquid markets," Finance and Stochastics, Springer, vol. 15(1), pages 57-83, January.
    6. Chen, Shumin & Liu, Yanchu & Weng, Chengguo, 2019. "Dynamic risk-sharing game and reinsurance contract design," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 216-231.
    7. Teemu Pennanen, 2008. "Arbitrage and deflators in illiquid markets," Papers 0807.2526, arXiv.org, revised Apr 2009.
    8. Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Papers 0710.2758, arXiv.org.
    9. Roux, Alet, 2011. "The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads," Journal of Mathematical Economics, Elsevier, vol. 47(2), pages 159-163, March.
    10. M. Dempster & I. Evstigneev & M. Taksar, 2006. "Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model," Annals of Finance, Springer, vol. 2(4), pages 327-355, October.
    11. Takuji Arai, 2017. "Good Deal Bounds With Convex Constraints," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-15, March.

  13. Amir, Rabah & Evstigneev, Igor & Wooders, John, 2003. "Noncooperative versus cooperative R&D with endogenous spillover rates," Games and Economic Behavior, Elsevier, vol. 42(2), pages 183-207, February.
    See citations under working paper version above.
  14. Igor V. Evstigneev & Michal A. H. Dempster & Klaus R. Schenk-Hoppé, 2003. "Exponential growth of fixed-mix strategies in stationary asset markets," Finance and Stochastics, Springer, vol. 7(2), pages 263-276.

    Cited by:

    1. Diks, C.G.H. & Wagener, F.O.O., 2006. "A weak bifurcation theory for discrete time stochastic dynamical systems," CeNDEF Working Papers 06-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    2. Diks C.G.H. & Wagener, F.O.O., 2005. "Equivalence and bifurcations of finite order stochastic processes," CeNDEF Working Papers 05-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    3. I. V. Evstigneev & K. R. Schenk-Hoppé, 2006. "VPure and Randomized Equilibria in the Stochastic von Neumann-Gale model," Economics Discussion Paper Series 0603, Economics, The University of Manchester.
    4. Igor Evstigneev & Dhruv Kapoor, 2007. "Arbitrage in Stationary Markets," Swiss Finance Institute Research Paper Series 07-32, Swiss Finance Institute.
    5. S D Flåm, 2005. "Portfolio Management without Probabilities or Statistics," Economics Discussion Paper Series 0508, Economics, The University of Manchester.
    6. Wael Bahsoun & Igor Evstigneev & Michael Taksar, 2007. "Capital growth theory and von Neumann-Gale dynamics," Economics Discussion Paper Series 0720, Economics, The University of Manchester.

  15. Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk‐Hoppé, 2002. "Market Selection Of Financial Trading Strategies: Global Stability," Mathematical Finance, Wiley Blackwell, vol. 12(4), pages 329-339, October.
    See citations under working paper version above.
  16. Amir, R. & Evstigneev, I. V., 2000. "A functional central limit theorem for equilibrium paths of economic dynamics," Journal of Mathematical Economics, Elsevier, vol. 33(1), pages 81-99, February.

    Cited by:

    1. John Stachurski, 2004. "Asymptotic Statistical Properties Of The Neoclassical Optimal Growth Model," Department of Economics - Working Papers Series 898, The University of Melbourne.
    2. Stachurski, J., 2001. "Stochastic Optimal Growth with Unbounded Shock," Department of Economics - Working Papers Series 777, The University of Melbourne.
    3. Nishimura, Kazuo & Stachurski, John, 2005. "Stability of stochastic optimal growth models: a new approach," Journal of Economic Theory, Elsevier, vol. 122(1), pages 100-118, May.
    4. John Stachurski, 2003. "Stochastic growth: asymptotic distributions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 21(4), pages 913-919, June.
    5. Amir, Rabah & Evstigneev, Igor, 1999. "Stochastic Version Of Polterovich'S Model: Exponential Turnpike Theorems For Equilibrium Paths," Macroeconomic Dynamics, Cambridge University Press, vol. 3(2), pages 149-166, June.

  17. Amir, Rabah & Evstigneev, Igor, 1999. "Stochastic Version Of Polterovich'S Model: Exponential Turnpike Theorems For Equilibrium Paths," Macroeconomic Dynamics, Cambridge University Press, vol. 3(2), pages 149-166, June.

    Cited by:

    1. Igor Evstigneev & Michael Taksar, 2006. "Dynamic interaction models of economic equilibrium," Economics Discussion Paper Series 0623, Economics, The University of Manchester.
    2. Ivan Boldyrev & Olessia Kirtchik, 2013. "General equilibrium theory behind the iron curtain: the case of Victor Polterovich," HSE Working papers WP BRP 14/HUM/2013, National Research University Higher School of Economics.
    3. Wei-Bin Zhang, 2017. "Social Status and Inequality in an Integrated Walrasian-General Equilibrium and Neoclassical-Growth Theory," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 42(4), pages 95-118, December.
    4. Zhang, W.-B., 2014. "Ethnic Human Capital Externalities and Inequality in a General Equilibrium Growth Model," Journal of the New Economic Association, New Economic Association, vol. 21(1), pages 33-54.
    5. Amir, R. & Evstigneev, I. V., 2000. "A functional central limit theorem for equilibrium paths of economic dynamics," Journal of Mathematical Economics, Elsevier, vol. 33(1), pages 81-99, February.

  18. Evstigneev, I. V. & Hildenbrand, W. & Jerison, M., 1997. "Metonymy and cross-section demand," Journal of Mathematical Economics, Elsevier, vol. 28(4), pages 397-414, November.
    See citations under working paper version above.
  19. Evstigneev, I. V. & Taksar, M., 1995. "Stochastic equilibria on graphs, II," Journal of Mathematical Economics, Elsevier, vol. 24(4), pages 383-406.

    Cited by:

    1. Igor Evstigneev & Michael Taksar, 2006. "Dynamic interaction models of economic equilibrium," Economics Discussion Paper Series 0623, Economics, The University of Manchester.
    2. Hohnisch, Martin, 2003. "Hildenbrand Distribution Economies as Limiting Empirical Distributions of Random Economies," Bonn Econ Discussion Papers 28/2003, University of Bonn, Bonn Graduate School of Economics (BGSE).
    3. Horst, Ulrich & Scheinkman, Jose A., 2006. "Equilibria in systems of social interactions," Journal of Economic Theory, Elsevier, vol. 130(1), pages 44-77, September.
    4. Bisin, Alberto & Horst, Ulrich & Ozgur, Onur, 2006. "Rational expectations equilibria of economies with local interactions," Journal of Economic Theory, Elsevier, vol. 127(1), pages 74-116, March.
    5. I. V. Evstigneev & M. I. Taksar, 2001. "Stochastic Economies with Locally Interacting Agents," Working Papers 01-03-018, Santa Fe Institute.
    6. Evstigneev, I. & Taksar, M., 1994. "Stochastic equilibria on graphs, I," Journal of Mathematical Economics, Elsevier, vol. 23(5), pages 401-433, September.
    7. Sergei Guriev & Igor Pospelov & Margarita Shakhova, "undated". "Self-Organization of Trade Networks in an Economy with Imperfect Infrastructure," Computing in Economics and Finance 1996 _022, Society for Computational Economics.
    8. Amir, Rabah & Evstigneev, Igor, 1999. "Stochastic Version Of Polterovich'S Model: Exponential Turnpike Theorems For Equilibrium Paths," Macroeconomic Dynamics, Cambridge University Press, vol. 3(2), pages 149-166, June.
    9. Dan Ladley & Seth Bullock, 2008. "The Strategic Exploitation of Limited Information and Opportunity in Networked Markets," Computational Economics, Springer;Society for Computational Economics, vol. 32(3), pages 295-315, October.
    10. Amir, R. & Evstigneev, I. V., 2000. "A functional central limit theorem for equilibrium paths of economic dynamics," Journal of Mathematical Economics, Elsevier, vol. 33(1), pages 81-99, February.

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