Survival and Evolutionary Stability of the Kelly Rule

Igor Evstigneev, Thorsten Hens and Klaus Schenk-Hoppé
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Thorsten Hens: University of Zurich and Swiss Finance Institute

No 09-32, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

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

Keywords: Evolutionary finance; Wealth dynamics; Survival and extinction of portfolio rules; Evolutionary stability; Kelly rule. (search for similar items in EconPapers)
JEL-codes: C61 C62 G11 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2009-08
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Citations: View citations in EconPapers (5)

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Related works:
Chapter: Survival and Evolutionary Stability of the Kelly Rule (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp0932

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