Survival and Evolutionary Stability of the Kelly Rule

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.

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Authors:	EVSTIGNEEV, Igor V. ; HENS, Thorsten ; SCHENK-HOPPE, Klaus Reiner
Subject:	Evolutionary finance \| Wealth dynamics \| Survival and extinction of portfolio rules \| Evolutionary stability \| Kelly rule

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Extent:	application/pdf
Series:	Swiss Finance Institute Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 09-32 17 pages
Classification:	G11 - Portfolio Choice ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C62 - Existence and Stability Conditions of Equilibrium
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008479285