| 证券组合投资分析的进化博弈方法 |
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| 引用本文： | 胡支军,黄登仕. 证券组合投资分析的进化博弈方法[J]. 系统工程, 2004, 22(7): 44-49 |
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| 作者姓名： | 胡支军 黄登仕 |
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| 作者单位： | 1. 西南交通大学,经济管理学院,四川,成都,610031;贵州大学,数学系,贵州,贵阳,550025
2. 西南交通大学,经济管理学院,四川,成都,610031 |
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| 基金项目： | 国家杰出青年科学基金资助项目(70229001) |
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| 摘 要： | 给出证券组合选择的一个进化博弈方法。将证券市场看成投资者群体博弈，其中财富流入更成功的投资策略，证券的价格由市场出清条件决定。在投资者为风险中性的假设下，我们指出惟一的纯策略Nash均衡是所有投资者按证券的(归一化后)期望收益成比例地分配财富，即根据证券的基本价值投资。进一步我们证明了该Nash均衡策略是Schaffer意义下的进化稳定策略。
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| 关 键 词： | 证券市场 组合投资 Nash均衡 进化稳定策略 |
| 文章编号： | 1001-4098(2004)07-0044-06 |
An Evolutionary Game Theory Approach for Portfolio Selection |
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| HU Zhi-jun. An Evolutionary Game Theory Approach for Portfolio Selection[J]. Systems Engineering, 2004, 22(7): 44-49 |
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| Authors: | HU Zhi-jun |
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| Affiliation: | HU Zhi-jun~ |
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| Abstract: | This paper we presents an evolutionary game theory approach for portfolio selection. We view security markets as investor population games where cash flows into more successful investment strategies, and the prices of securities are (determined) result from market clearing. Assum that investors are risk neutral, we find the only pure-srategy Nash (equilibrium) is to split wealth proportionally to the (normalized) expected returns of the securities, which can be understood as investing according to the fundamental values. Further, we also show that the equilibrium stratey is also evolutionarily (stable) in the sense of Schaffer~([15]). |
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| Keywords: | Security Markets Portfolio Selection Nash Equilibrium Evolutionary Stability Strategy |
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