Narrow search
Showing 1 - 10 of 85
Cover Image
Evolutionary Stable Stock Markets
Hens, Thorsten; Schenk-Hoppe, Klaus Reiner; Evstigneev, Igor - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
This paper shows that a stock market is evolutionary stable if andonly if stocks are evaluated by expected relative dividends. Any othermarket can be invaded by portfolio rules that will gain market wealthand hence change the valuation. In the model the valuation of assetsis given by the wealth...
Persistent link: https://www.econbiz.de/10005858757
Cover Image
Survival of the Fittest on Wall Street
Hens, Thorsten; Schenk–Hoppe, Klaus Reiner - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
This paper studies an application of a Darwinian theory of portfolioselection to stocks listed in the Dow Jones … market wealth in competition with fix-mix portfolio rules derived from mean-variance optimization, maximum growth theory and …
Persistent link: https://www.econbiz.de/10005858308
Cover Image
Two Paradigms and Nobel Prizes in Economics : A Contradiction or Coexistence?
Levy, Haim; De Giorgi, Enrico; Hens, Thorsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
development of Prospect Theory. Can these two apparently contradictory paradigms coexist? In deriving the CAPM, Sharpe, Lintner … and risk aversion. Kahneman & Tversky suggest Prospect Theory (PT) and Cumulative Prospect Theory (CPT) as an alternative … paradigm to EU theory. They show that investors distort probabilities, make decisions based on change of wealth, exhibit loss …
Persistent link: https://www.econbiz.de/10005858578
Cover Image
An Evolutionary Explanation of the Value Premium Puzzle
Hens, Thorsten; Schenk-Hoppé, Klaus Reiner; Woehrmann, … - Institut für Schweizerisches Bankwesen <Zürich> - 2006
As early as 1934 Graham and Dodd conjectured that excess returns from value investment originate from a tendency of markets to converge towards fundamental values. This paper confirms their insights theoretically within the evolutionary finance model of Evstigneev, Hens, and Schenk-Hopp (2006)...
Persistent link: https://www.econbiz.de/10005858582
Cover Image
Prospect Theory and the CAPM : A contradiction or coexistence?
Levy, Haim; De Giorgi, Enrico; Hens, Thorsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
Under the assumption of normally distributed returns, we analyzewhether the Cumulative Prospect Theory of Tversky and …
Persistent link: https://www.econbiz.de/10005858756
Cover Image
The Evolutionary Virtue of Diversification
Schenk-Hoppé, Klaus Reiner - Institut für Schweizerisches Bankwesen <Zürich> - 2004
This note shows that an investor who does not hold positive amounts of all available assets is eventually overtaken by a completely diversified rival investor.
Persistent link: https://www.econbiz.de/10005858925
Cover Image
An Application of Evolutionary Finance to Firms : Listed in the Swiss Market Index
Hens, Thorsten; Schenk-Hoppé, Klaus Reiner; Stalder, Martin - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
This paper presents an application of evolutionary portfolio theory to stocks listed in the Swiss Market Index (SMI … from Mean-Variance Optimization, Maximum Growth Theory and Behavioral Finance, the evolutionary portfolio rule discovered …
Persistent link: https://www.econbiz.de/10005859332
Cover Image
Market Selection of Financial Trading Strategies : Global Stability
Hens, Thorsten; Evstigneev, Igor V.; Schenk-Hoppé, … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
In this paper we analyze the long-run dynamics of the market selection process among simple trading strategies in an incomplete asset market with endogenous prices. We identify a unique surviving financial trading strategy. Investors following this strategy asymptotically gather total market...
Persistent link: https://www.econbiz.de/10005859367
Cover Image
Market Selection and Survival Investment Strategies
Amir, Rabah; Evstigneev, Igor V.; Hens, Thorsten; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
The paper analyzes the process of market selection of investment strategies in an incomplete market of short-lived assets. In the model under study, asset payos depend on exogenous random factors. Market participants use dynamic investment strategies taking account of available information about...
Persistent link: https://www.econbiz.de/10005859376
Cover Image
Evolutionary Stability of Portfolio Rules in Incomplete Markets
Hens, Thorsten; Schenk-Hoppé, Klaus Reiner - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
theory, we derive necessary and suffcient conditions for the evolutionary stability of portfolio rules. In the case of Markov …
Persistent link: https://www.econbiz.de/10005859386