基于演化博弈的证券市场长期资产投资策略稳定性研究

Study of Securities Investment Strategies Stability of Long-term Assets Based on Evolutionary Finance Theory

本文研究了包含长期资产的金融市场进化博弈模型以及环境状态非独立同分布情形下的动态演化过程,力图探究投资者策略成功概率随其市场相对份额变化而改变的市场动态演化规律。本文证明了投资者仅仅遵循Kelly规则将无法完全主导市场,提出并证明了Kelly规则成为进化稳定策略的条件,并将其应用于研究投资者财富动态演化过程。本文最终产生一个"生存"投资策略,亦即遵循此规则的投资者将主导市场,或者至少可以在市场中存续。

This paper studies the evolutionary models of financial markets with short-lived assets and the dynamics when the states of the world are not identically distributed. This paper tries to study the dynamics of the market when the probability of success changes according to the relative shares of investors .This paper proves that investors who simply follow Kelly rules will not be able to completely dominate the market,then puts forward and proves the conditions that Kelly rules become the evolutionary stable strategy. At the same time,this is applied to research the dynamic evolution process of investor wealth.This paper finally constructs a ＂surviving＇investment strategy.This means that the investor who follows this rule will dominate the market or at least survive.