Research Interests

• Financial Markets - Evolutionary Finance
• Dynamic Economic Theory
• Random Dynamical Systems: Theory and Applications

Recent Work

1. A Simple Model of the Firm Life Cycle (with Urs Schweri). Working Paper No. 659. National Centre of Competence in Research ``Financial Valuation and Risk Management,'' Switzerland, August 2010.
2. An Evolutionary Financial Market Model With a Risk-free Asset (with Igor V. Evstigneev and Thorsten Hens). Working Paper No. 656. National Centre of Competence in Research ``Financial Valuation and Risk Management,'' Switzerland, August 2010.
3. Asset Market Games of Survival: A Synthesis of Evolutionary and Dynamic Games (with Rabah Amir and Igor V. Evstigneev). Working Paper No. 505 (revised). National Centre of Competence in Research ``Financial Valuation and Risk Management,'' Switzerland, August 2010.
4. Consumption Paths under Prospect Utility in an Optimal Growth Model (with Reto Foellmi and Rina Rosenblatt-Wisch). Journal of Economic Dynamics and Control, forthcoming.
5. Linearization and Local Stability of Random Dynamical Systems (with Igor V. Evstigneev and Sergey A. Pirogov). Proceedings of the American Mathematical Society, forthcoming.
6. The Role of Country, Regional and Global Market Risks in the Dynamics of Latin American Yield Spreads (with Alena Audzeyeva). Journal of International Financial Markets, Institutions & Money, forthcoming.
7. An Evolutionary Explanation of the Value Premium Puzzle (with Thorsten Hens, Terje Lensberg and Peter Woehrmann). Journal of Evolutionary Economics, forthcoming.
8. From Discrete to Continuous Time Evolutionary Finance (with Jan Palczewski). Journal of Economic Dynamics and Control, 34, 913–931, 2010.
9. Market Selection of Constant Proportions Investment Strategies in Continuous Time (with Jan Palczewski). Journal of Mathematical Economics, 46, 248–266, 2010.
10. Survival and Evolutionary Stability of the Kelly Rule (with Igor V. Evstigneev and Thorsten Hens). In The Kelly Capital Growth Investment Criterion: Theory and Practice, (Leonard C. MacLean, Edward O. Thorp and William T. Ziemba, eds.), World Scientific, forthcoming.
11. Growing Wealth with Fixed-mix Strategies (with Michael A.H. Dempster and Igor V. Evstigneev). In The Kelly Capital Growth Investment Criterion: Theory and Practice, (Leonard C. MacLean, Edward O. Thorp and William T. Ziemba, eds.), World Scientific, forthcoming.
12. Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance (with Rolf Poulsen and C. Ewald). Quantitative Finance, 9, 693-704, 2009.
13. Do Stylised Facts of Order Book Markets need Strategic Behaviour? (with Dan Ladley). Journal of Economic Dynamics and Control, 33, 817-831, 2009.
14. (Un)anticipated Technological Change in an Endogenous Growth Model (with Bruce A. Conway and Rina Rosenblatt-Wisch). Studies in Nonlinear Dynamics and Econometrics, 13(1), Article 3, 2009.
15. `Managing demand' for peer reviews. April 1, 2009.
16. Parking: Unwanted Insights from Economics. January 1, 2008.
17. Sovereign Rating Transitions and the Price of Default Risk in Emerging Markets (with Alena Audzeyeva). Working Paper No. 382. National Centre of Competence in Research ``Financial Valuation and Risk Management,'' Switzerland, May 2007.
18. Evolutionary Finance (with Igor V. Evstigneev and Thorsten Hens) Chapter 9 in "Handbook of Financial Markets: Dynamics and Evolution" (Thorsten Hens and Klaus R. Schenk-Hoppé, eds.), pp. 507-566, North-Holland, 2009.
19. Handbook of Financial Markets: Dynamics and Evolution, editor (with Thorsten Hens), volume in the Handbooks in Finance series (edited by William T. Ziemba), North-Holland, 2009.
20. Globally Evolutionarily Stable Portfolio Rules (with Igor V. Evstigneev and Thorsten Hens). Journal of Economic Theory, 140, 197-228, 2008.
21. Stochastic Equilibria in von Neumann-Gale Dynamical Systems (with Igor V. Evstigneev). Transactions of the American Mathematical Society, 360, 3345-3364, 2008.
22. The Joy of Volatility (with Michael A.H. Dempster and Igor V. Evstigneev). Quantitative Finance, 8, 1-3, 2008.
23. Pure and Randomized Equilibria in the Stochastic von Neumann-Gale Model (with Igor V. Evstigneev). Journal of Mathematical Economics, 43, 871-887, 2007.
24. The Great Capitol Hill Baby Sitting Co-op: Anecdote or Evidence for the Optimum Quantity of Money? (with Thorsten Hens and Bodo Vogt). Journal of Money, Credit and Banking, 39, 1305-1333, 2007.
25. Volatility-induced Financial Growth (with Michael A.H. Dempster and Igor V. Evstigneev). Quantitative Finance, 7, 151-160, 2007.
26. On the Evolution of Investment Strategies and the Kelly Rule - A Darwinian Approach (with Terje Lensberg). Review of Finance, 11, 25-50, 2007.