We test the out-of-sample trading performance of model-free reinforcement learning (RL) agents and compare them with the performance of equally-weighted portfolios and traditional mean-variance (MV) optimization benchmarks. By dividing European and U.S. indices constituents into factor datasets,...

This article explores the influence of competitive conditions on the evolutionary fitness of risk preferences, using the professional competition between fund managers as a practical example. To explore how different settings of competition parameters, the exclusion rate and the exclusion...

This article explores the influence of competitive conditions on the evolutionary fitness of different risk preferences. As a practical example, the professional competition between fund managers is considered. To explore how different settings of competition parameters, the exclusion rate and...

This study applies financial portfolio theory to determine efficient electricity-generating technology portfolios for the United States and Switzerland, adopting an investor point of view. Expected returns are defined by the rate of decrease of power generation cost (with external costs...

This study applies financial portfolio theory to determine efficient electricity-generating technology mixes for Switzerland and the United States. Expected returns are given by the (negative of the) rate of increase of power generation cost. Volatility of returns relates to the standard...

This contribution starts out by noting a conflict of interest between consumers and insurers. Consumers face positive correlation in their assets (health, wealth, wisdom, i.e. skills), causing them to demand a great deal of insurance coverage. Insurers on the other hand eschew positively...

A rational-expectations equilibrium with positive demand for financial information does exist under fully revealing asset price - contrary to a wide-held conjecture. Generalizing the common additive signal-return model with CARA utility to the family of distributions with moment generating...

We consider a portfolio optimization problem in a Black-Scholes model with n stocks, in which an investor faces both fixed and proportional transaction costs. The performance of an investment strategy is measured by the average return of the corresponding portfolio over an infinite time horizon....

Climate risk is particularly burdensome to small-scale farmers in developing countries due to heavy dependence on natural resources, limited and erratic rainfall with high inter- and intra-annual variability, and other natural calamities. Numerous studies on climate change suggest that climate...

In this paper the class of Lower Partial Moments (LPMs) is used for measuring vulnerability as downside risk of household income in rural Cameroon. This class of established and coherent risk measures has been shown to meet a number of desirable properties. Among others, the LPMs fulfill the...