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Permanent URL to this publication: http://dx.doi.org/10.5167/uzh-51975

Hens, Thorsten; Schenk-Hoppé, Klaus Reiner (2001). Evolution of Portfolio Rules in Incomplete Markets. Working paper series / Institute for Empirical Research in Economics No. 74, University of Zurich.

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Abstract

The paper considers the evolution of portfolio rules in markets with stationary returns and endogenous prices. The ultimate success of a portfolio rule is measured by the wealth share the rule is eventually able to conquer in competition with other portfolio rules. We give necessary and sufficient conditions for portfolio rules to be evolutionary stable. In the case of i.i.d. returns we identify a simple portfolio rule to be the unique evolutionary stable strategy. Moreover we demonstrate that mean-variance optimization is not evolutionary stable while the CAPM-rule always imitates the best portfolio rule and survives.

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Economics
Working Paper Series > Institute for Empirical Research in Economics (former)
DDC:330 Economics
Language:English
Date:October 2001
Deposited On:29 Nov 2011 22:26
Last Modified:09 Jul 2012 07:01
Series Name:Working paper series / Institute for Empirical Research in Economics
ISSN:1424-0459
Official URL:http://www.econ.uzh.ch/wp.html

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