基于中国股市的进化金融理论与实证研究

An Empirical Study of Evolutionary Finance in China Stock Market

运用达尔文进化思想研究中国股票市场的投资组合选择,利用真实股息数据对固定混合策略的长期行为进行数值分析,假设金融市场每种资产支付的相对股息是外生的和均值平稳的,资产价格是内生的且完全由供求平衡决定,针对中国股票市场通过模拟计算验证了以下进化金融理论:投资比例等于资产相对股息的数学期望的固定混合策略是进化稳定的,它将最终控制整个市场财富,对应的资产相对价格趋近于该资产相对股息的数学期望。模拟分析还发现了一个新现象:消费比例越大,市场竞争越激烈,市场进化的速度越快。

This paper studies an application of Darwinian theory of portfolio selection to the Chinese stock market and numerically analyzes the long-run outcome of the competition of fix-mix portfolio rules in a stock with actual dividends. In this setting there are finite assets, each of which generates relative dividend exogenously. Expected relative dividends are constant and the asset prices are endogenously determined by supply and demand. By simulation analysis, the authors verify that the fix-mix portfolio rule in accord with expected relative dividends is evolutionary stable and will conquer all the market wealth eventually. The asset prices approach gradually to their expected relative dividends. The simulation also shows that the more all investors consume the fiercer the competition becomes and the faster the market evolution appears.