Showing 1 - 10 of 12
This chapter gives an overview of current research in evolutionary finance. 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...
Persistent link: https://www.econbiz.de/10003971097
The pricing kernel is an important link between economics and finance. In standard models of financial economics it is proportional to the aggregate marginal utility in the economy. We first how that none of the three standard assumptions (completeness, risk aversion, and correct beliefs) is...
Persistent link: https://www.econbiz.de/10003979507
Investor behavior was shown to be considerably different when the risk-return tradeoff is presented by experience sampling as opposed to a descriptive communication. We analyze the persistency of this difference in a setting in which investors are faced with multiple decisions over time and are...
Persistent link: https://www.econbiz.de/10011870656
We study front-running by high frequency traders (HFTs) in a limit order model with continuous trading. The model describes an evolutionary equilibrium of low frequency traders (LFTs) who compete in portfolio management services by offering investment styles. The introduction of front-runners...
Persistent link: https://www.econbiz.de/10011627064
We assess the ability of different risk profiling measures to predict risk taking along a multi-stage decision process. The latter involves decisions under ambiguity, decisions under risk, decisions after gaining experience and decisions after receiving outcome information on previous decisions....
Persistent link: https://www.econbiz.de/10011874728
authors in the theory and applications of evolutionary finance models. An introduction to and the motivation of the modeling … strategies, discusses the relation to the Kelly rule and implications for asset pricing theory, and introduces a continuous …
Persistent link: https://www.econbiz.de/10003961707
This paper introduces and analyzes an evolutionary model of a financial market with a risk-free asset. Focus is on the study of local stability of the wealth dynamics through the application of recent results on the linearization and stability of random dynamical systems (Evstigneev, Pirogov and...
Persistent link: https://www.econbiz.de/10008797770
Time preferences are central to human decision making; therefore, a thorough understanding of their international differences is highly relevant. Previous measurements, however, vary widely in their methodology, from questions answered on the Likert scale to lottery-type questions. We show that...
Persistent link: https://www.econbiz.de/10012614519
Institutional investors in equities tend to follow well-defined investment strategies, often based on factors such as size, value, momentum, quality, dividend yield and other stock characteristics. This paper explores the impact of capital flows between investment strategies on the cross-section...
Persistent link: https://www.econbiz.de/10012800936
The paper shows how the standard two-period CAPM with exogenous wealth and exogenous returns can be extended inter-temporally by including the evolution of wealth from the Evolutionary Finance model of Evstigneev, Hens and Schenk-Hoppe (2011). The missing link between the two models is given by...
Persistent link: https://www.econbiz.de/10012800950