The purpose of this work is to develop an evolutionary finance model with a risk-free asset playing the role of a numeraire. The model describes a market where one risk-free and several “short-lived” risky assets (securities) are traded in discrete time. The risky securities live one period, yield random payoffs at the end of it, and then are re-born at the beginning of the next period. The main goal of the study is to identify investment strategies that make it possible for an investor to “survive” in the market selection process. It is shown that a strategy of this kind exists, is in a sense asymptotically unique and can be described by a simple explicit formula amenable for quantitative investment analysis.

这项工作的目的是建立一种无风险资产扮演数字资产的演化金融模型。该模型描述了一个市场，在该市场上离散交易一笔无风险和几笔“短期”风险资产（证券）。风险证券有一个存续期，在存续期末会随机产生收益，然后在下一个存续期初重生。该研究的主要目标是确定使投资者有可能在市场选择过程中“生存”的投资策略。结果表明，这种策略存在，在某种意义上是渐近唯一的，并且可以用适合于定量投资分析的简单显式公式来描述。