An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index

This file is part of IDEAS, which uses RePEc data

An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index

Author Info

Thorsten Hens
Klaus Reiner Schenk-Hoppé
Martin Stalder

Additional information is available for the following registered author(s):

Klaus Reiner Schenk-Hoppé

Abstract

This paper presents an application of evolutionary portfolio theory to stocks listed in the Swiss Market Index (SMI). We study numerically the long-run outcome of the competition of rebalancing rules for market shares in a stock market with actual dividends taken from firms listed in the SMI. Returns are endogenous because prices are determined by supply and demand stemming from the rebalancing rules. Our simulations show that in competition with rebalancing rules derived from Mean-Variance Optimization, Maximum Growth Theory and Behavioral Finance, the evolutionary portfolio rule discovered in Hens and Schenk-Hoppé (2001) will eventually hold total market wealth. According to this simple rule the portfolio weights should be proportional to the expected relative dividends of the assets.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

Publisher Info
Paper provided by Institute for Empirical Research in Economics - IEW in its series IEW - Working Papers with number iewwp128.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length:
Date of creation:
Date of revision:
Handle: RePEc:zur:iewwpx:128

Contact details of provider:

For technical questions regarding this item, or to correct its listing, contact: (Hanna Britt).

Other versions of this item:

Article
- Thorsten Hens & Klaus Reiner Schenk-Hoppé & Martin Stalder, 2002. "An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 127(IV), pages 465-487, December. [Downloadable!]

Find related papers by JEL classification:
D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Bruno S. Frey & Stephan Meier, . "Pro-Social Behavior, Reciprocity or Both?," IEW - Working Papers iewwp107, Institute for Empirical Research in Economics - IEW. [Downloadable!]
Other versions:
- Frey, Bruno S. & Meier, Stephan, 2002. "Pro-Social Behavior, Reciprocity or Both?," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
Lars Feld & Bruno Frey, 2000. "Trust Breeds Trust: How Taxpayers are Treated," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
Other versions:
- Lars P. Feld & Bruno S. Frey, . "Trust Breeds Trust: How Taxpayers are Treated," IEW - Working Papers iewwp098, Institute for Empirical Research in Economics - IEW. [Downloadable!]
- Lars P. Feld & Bruno S. Frey, 2002. "Trust breeds trust: How taxpayers are treated," Economics of Governance, Springer, vol. 3(2), pages 87-99, 07. [Downloadable!] (restricted)
Bruno Frey & Stephan Meier, 2005. "Selfish and Indoctrinated Economists?," European Journal of Law and Economics, Springer, vol. 19(2), pages 165-171, April. [Downloadable!] (restricted)
Other versions:
- Bruno S. Frey & Stephan Meier, . "Selfish and Indoctrinated Economists?," IEW - Working Papers iewwp103, Institute for Empirical Research in Economics - IEW. [Downloadable!]
Rafael Lalive & Jan C. van Ours & Josef Zweimüller, 2005. "The Effect Of Benefit Sanctions On The Duration Of Unemployment," Journal of the European Economic Association, MIT Press, vol. 3(6), pages 1386-1417, December. [Downloadable!] (restricted)
Other versions:
- Lalive, R. & Ours, J.C. van & Zweimuller, J., 2002. "The effect of benefit sanctions on the duration of unemployment," Discussion Paper 19, Tilburg University, Center for Economic Research. [Downloadable!]
- Lalive, Rafael & van Ours, Jan C & Zweimüller, Josef, 2002. "The Effect of Benefit Sanctions on the Duration of Unemployment," CEPR Discussion Papers 3311, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
- Lalive, Rafael & van Ours, Jan C. & Zweimüller, Josef, 2002. "The Effect of Benefit Sanctions on the Duration of Unemployment," IZA Discussion Papers 469, Institute for the Study of Labor (IZA). [Downloadable!]
- Rafael Lalive & Jan C. van Ours & Josef Zweimüller, . "The Effect of Benefit Sanctions on the Duration of Unemployment," IEW - Working Papers iewwp110, Institute for Empirical Research in Economics - IEW. [Downloadable!]
Fehr, Ernst & Klein, Alexander & Schmidt, Klaus M., 2001. "Fairness, Incentives and Contractual Incompleteness," CEPR Discussion Papers 2790, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Other versions:
- Ernst Fehr & Alexander Klein & Klaus M. Schmidt, . "Fairness, Incentives and Contractual Incompleteness," IEW - Working Papers iewwp072, Institute for Empirical Research in Economics - IEW. [Downloadable!]
- Fehr, Ernst & Klein, Alexander & Schmidt, Klaus M., 2001. "Fairness, Incentives and Contractual Incompleteness," Discussion Papers in Economics 18, University of Munich, Department of Economics. [Downloadable!]
- Ernst Fehr & Alexander Klein & Klaus Schmidt, 2001. "Fairness, Incentives and Contractual Incompleteness," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
Bruno Frey & Alois Stutzer, 2001. "Beyond Bentham -- Measuring Procedural Utility," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
Rabah Amir & Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, . "Market Selection and Survival of Investment Strategies," IEW - Working Papers iewwp091, Institute for Empirical Research in Economics - IEW. [Downloadable!]
Other versions:
- R Amir & I Evstigneev & T Hens & K R Schenk-Hoppé, 2002. "Market Selection and Survival of Investment Strategies," The School of Economics Discussion Paper Series 0215, Economics, The University of Manchester. [Downloadable!]
- Rabah Amir & Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2002. "Market Selection and Survival of Investment Strategies," Discussion Papers 02-16, University of Copenhagen. Department of Economics. [Downloadable!]
- Amir, Rabah & Evstigneev, Igor V. & Hens, Thorsten & Schenk-Hoppe, Klaus Reiner, 2005. "Market selection and survival of investment strategies," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 105-122, February. [Downloadable!] (restricted)
Bruno Frey, 2001. "Flexible Citizenship for a Global Society," Berkeley Olin Program in Law & Economics, Working Paper Series 1018, Berkeley Olin Program in Law & Economics. [Downloadable!]
Other versions:
- Bruno S. Frey, . "Flexible Citizenship for a Global Society," IEW - Working Papers iewwp094, Institute for Empirical Research in Economics - IEW. [Downloadable!]

Full references

Statistics
Access and download statistics

Did you know? Over 77% of the top 1000 economists are registered on RePEc.

This page was last updated on 2008-7-15.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.