Similar Search Results

Replicating hedge fund indices with optimization heuristics

Gilli, Manfred; Schumann, Enrico; Cabej, Gerda; Lula, Jonela - 2010

Hedge funds offer desirable risk-return profiles; but we also find high management fees, lack of transparency and worse, very limited liquidity (they are often closed to new investors and disinvestment fees can be prohibitive). This creates an incentive to replicate the attractive features of...

Persistent link: https://www.econbiz.de/10003979515

Asset market games of survival

Amir, Rabah; Evstigneev, Igor V.; Schenk-Hoppé, Klaus … - 2008

The paper examines a game-theoretic model of a financial market in which asset prices are determined endogenously in terms of a short-run equilibrium. Investors use general, adaptive strategies (portfolio rules) depending on the exogenous states of the world and the observed history of the game....

Persistent link: https://www.econbiz.de/10003966080

Constructing long/short portfolios with the Omega ratio

Gilli, Manfred; Schumann, Enrico; Tollo, Giacomo di; … - 2008

We construct portfolios with an alternative selection criterion, the Omega function, which can be expressed as the ratio of two partial moments of the returns distribution. Finding Omega-optimal portfolios, in particular under realistic constraints like cardinality restrictions, requires to...

Persistent link: https://www.econbiz.de/10003966094

Strategies of survival in dynamic asset market games

Amir, Rabah; Evstigneev, Igor V.; Xu, Le - 2008

The paper examines a game-theoretic evolutionary model of a financial market with endogenous equilibrium asset prices. Assets pay dividends that are partially consumed and partially reinvested. The traders use general, adaptive strategies (portfolio rules), distributing their wealth between...

Persistent link: https://www.econbiz.de/10003966195

Evolutionary finance and dynamic games

Amir, Rabah; Evstigneev, Igor V.; Hens, Thorsten; Xu, Le - 2009

The paper examines a game-theoretic evolutionary model of an asset market with endogenous equilibrium asset prices. Assets pay dividends that are partially consumed and partially reinvested. The investors use general, adaptive strategies (portfolio rules), distributing their wealth between...

Persistent link: https://www.econbiz.de/10003971348

Using economic and financial information for stock selection

Roko, Ilir (contributor); Gilli, Manfred (contributor) - 2006

A major inconvenience of the traditional approach in portfolio choice, based upon historical information, is its … inability to anticipate sudden changes of price tendencies. Introducing information about future behavior of the assets … exogenous information to the asset prices is not straightforward. Classification trees can be used to construct partitions of …

Persistent link: https://www.econbiz.de/10003394276