基于进化金融的证券投资策略动态博弈模型研究

Study of Securities Investment Strategies Dynamic Game Based on Evolutionary Finance Theory

本研究构建并证明了一个内生平衡资产价格的证券市场动态博弈进化模型。模型中资产产生的股息分别用于消费和再投资。投资者使用一般的、自适应投资策略以特定的比例在不同资产间进行投资,投资依据是环境的外生状态和观察到的博弈历史记录。本研究的主要目标是探索并定义投资者的生存策略,即在整个有限的时间范围内,该策略需确保投资者拥有积极的、远离零界的市场财富份额。本研究把进化金融的最新理论和非合作市场博弈的经典主题结合在一起,证明了投资策略成为稳定生存策略的条件及生存策略的渐进唯一性。

The study examines a game theoretic evolutionary model of an asset market with endogenous equilibri- um asset prices. Assets pay dividends that are consumed and reinvested. The investors use adaptive, general strategies ,distributing their wealth between assets,depending on the observed history of the game and the exoge- nous states of the world . The main purpose of this study is to explore strategies, allowing an investor to survive and to possess a positive,bounded away from zero,share of market wealth over the whole infinite time horizon. This study brings together recent studies about evolutionary finance with the classical topic of non-cooperative market games. And at the same time ,this study examines the asymptotic uniqueness of the result.