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.
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.
469 downloads since deposited on 29 Nov 2011
90 downloads since 12 months
|Item Type:||Working Paper|
|Communities & Collections:||03 Faculty of Economics > Department of Economics
Working Paper Series > Institute for Empirical Research in Economics (former)
|Dewey Decimal Classification:||330 Economics|
|Deposited On:||29 Nov 2011 21:26|
|Last Modified:||09 Jul 2012 05:01|
|Series Name:||Working paper series / Institute for Empirical Research in Economics|
Users (please log in): suggest update or correction for this item
Repository Staff Only: item control page