Survival and Evolutionary Stability of the Kelly Rule

This chapter gives an overview of current research in evolutionary -nance. We mainly focus on the survival and stability properties ofinvestment strategies associated with the Kelly rule. Our approach tothe study of the wealth dynamics of investment strategies is inspired byDarwinian ideas on selection and mutation.[...]

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Year of publication:	2009-08-18
Authors:	Evstigneev, Igor’ V. ; Hens, Thorsten ; Schenk-Hoppé, Klaus R.
Institutions:	Finrisk
Subject:	Finanzierung \| finance \| Stabilität

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Table of Contents
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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

Persistent link: https://www.econbiz.de/10005868576