Survival and Evolutionary Stability of the Kelly Rule
Year of publication: |
2009-08-18
|
---|---|
Authors: | Evstigneev, Igor’ V. ; Hens, Thorsten ; Schenk-Hoppé, Klaus R. |
Institutions: | Finrisk |
Subject: | Finanzierung | finance | Stabilität |
- 1 Introduction
- 2 Model
- 3 Dynamics and stability
- 3.1 Dynamics and the role of basic strategies
- 3.2 Survival and extinction of portfolio rules
- 4 Results
- 4.1 Survival of the Kelly rule
- 4.2 Evolutionary stability of the Kelly rule
- 5 Conclusion
- References
-
(2008)
-
The paradox of monetary profits: an obstacle to understanding financial and economic Crisis?
Bruun, Charlotte, (2009)
-
Wege direkter Finanzierung für den Mittelstand, Teil 1: Ausgewählte klassische Finanzierungsformen
Peskes, Markus, (2018)
- More ...
-
Evstigneev, Igor’ V., (2008)
-
From Discrete to Continuous Time EvolutionaryFinance Models
Palczewski, Jan, (2008)
-
Market Selection of Constant Proportions InvestmentStrategies in Continuous Time
Palczewski, Jan, (2008)
- More ...