On the Evolution of Investment Strategies and the Kelly Rule—A Darwinian Approach*

DOI10.1093/ROF/RFM003MaRDI QIDQ5439979zbMATH OpenOpenAlexFDO

Authors Terje Lensberg, Klaus R. Schenk-Hoppé

Publication date 30 January 2008

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11250/163853

zbMATH Keywords

Darwinian modelevolutionary financegenetic programmingKelly rule

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Mathematical sociology (including anthropology) (91D99) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

Recommendations

• Performance of investment strategies in the absence of correct beliefs
• Globally evolutionarily stable portfolio rules
• Evolutionary stability of portfolio rules in incomplete markets
• Evolution and market behavior
• Evolutionary finance and dynamic games

Cited in

(7)

• The strategic exploitation of limited information and opportunity in networked markets
• Local stability analysis of a stochastic evolutionary financial market model with a risk-free asset
• Investment behavior under Knightian uncertainty -- an evolutionary approach
• Evolution and market behavior with endogenous investment rules
• Performance of investment strategies in the absence of correct beliefs
• DRIVING FORCE IN INVESTMENT
• Social contagion and the survival of diverse investment styles

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