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- W2040552420 abstract "A long-run wealth evolution model with liquidity shocks and bankruptcy consideration is built. While investors are investing in financial markets, they also take part in some kind of risky investment. When the net expenditure is negative, the investor faces a liquidity shock and thus is forced into bankruptcy. By introducing no bankruptcy condition, and the assumption that the state of nature, the dividend and the liquidity shock are i.i.d processes, the paper proves that the evolution stable strategy is unique and also provides the condition for existence and the condition the unique stable strategy must satisfy. In short-run, bankruptcy risk makes a restriction on the proportion invested in risky asset with an upper bound; from a long-run perspective, it changes the evolution structure of long-run wealth distribution, and the strategy having a possibility to bankrupt is not possible to be stable in the long-run and thus will be eliminated finally by the market." @default.
- W2040552420 created "2016-06-24" @default.
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- W2040552420 date "2010-07-01" @default.
- W2040552420 modified "2023-09-26" @default.
- W2040552420 title "A wealth evolution model of financial market with liquidity shocks" @default.
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- W2040552420 doi "https://doi.org/10.1109/indusis.2010.5565836" @default.
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