We apply the recurrent reinforcement learning method of Moody, Wu, Liao, and Saffell (1998) in the context of the strategic asset allocation computed for sample data from US, UK, Germany, and Japan. It is found that the optimal asset allocation deviates substantially from the fixed-mix rule....

This paper studies a centralized market with idiosyncratic uncertainty and money as a medium of exchange from a theoretical as well as an experimental perspective. In our model, prices are fixed and markets are cleared by rationing. We prove the existence of stationary monetary equilibria and of...

In this paper we propose a new tâtonnement process of short-period equilibria with rational expectations: current period prices move proportionally to current period excess demand while future prices are formed according to the perfect foresight hypothesis. It is shown that this process is...

In a dynamic general equilibrium model, we derive conditions for a mutual fund separation property by which the savings decision is separated from the asset allocation decision. With logarithmic utility functions, this separation holds for any heterogeneity in discount factors, while the...

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...

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....