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Survival and Evolutionary Stability of the Kelly Rule

Author

Listed:
  • Igor V. EVSTIGNEEV

    (University of Manchester)

  • Thorsten HENS

    (University of Zurich and Swiss Finance Institute)

  • Klaus Reiner SCHENK-HOPPE

    (University of Leeds)

Abstract

This chapter gives an overview of current research in evolutionary fi- nance. We mainly focus on the survival and stability properties of investment strategies associated with the Kelly rule. Our approach to the study of the wealth dynamics of investment strategies is inspired by Darwinian ideas on selection and mutation. The goal of this research is to develop an evolutionary framework for practical investment advice.

Suggested Citation

  • Igor V. EVSTIGNEEV & Thorsten HENS & Klaus Reiner SCHENK-HOPPE, "undated". "Survival and Evolutionary Stability of the Kelly Rule," Swiss Finance Institute Research Paper Series 09-32, Swiss Finance Institute.
  • Handle: RePEc:chf:rpseri:rp0932
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    References listed on IDEAS

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    Cited by:

    1. Palczewski, Jan & Schenk-Hoppé, Klaus Reiner, 2010. "From discrete to continuous time evolutionary finance models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 913-931, May.
    2. Palczewski, Jan & Schenk-Hoppé, Klaus Reiner, 2010. "Market selection of constant proportions investment strategies in continuous time," Journal of Mathematical Economics, Elsevier, vol. 46(2), pages 248-266, March.

    More about this item

    Keywords

    Evolutionary finance; Wealth dynamics; Survival and extinction of portfolio rules; Evolutionary stability; Kelly rule.;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium

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