Survival and Evolutionary Stability of the Kelly Rule

Igor V. Evstigneev, Thorsten Hens and Klaus Schenk-Hoppé

Chapter 20 in The Kelly Capital Growth Investment Criterion:Theory and Practice, 2011, pp 273-284 from World Scientific Publishing Co. Pte. Ltd.

Abstract: 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 on selection and mutation. The goal of this research is to develop an evolutionary framework for practical investment advice.

Keywords: Kelly Criterion; Dynamic Investment Analysis; Capital Growth Theory; Sports Betting; Hedge Fund Strategies; Speculative Investing; Fortune 's Formula (search for similar items in EconPapers)
Date: 2011
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Working Paper: Survival and Evolutionary Stability of the Kelly Rule (2009)
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