Klaus Reiner Schenk-Hoppé

University of Manchester - Department of Economics

Professor

Arthur Lewis Building

Oxford Road

Manchester, M13 9PL

United Kingdom

Norwegian School of Economics (NHH) - Department of Finance

Helleveien 30

N-5045 Bergen

Norway

SCHOLARLY PAPERS

68

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28,168

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Top 1,972

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92

CROSSREF CITATIONS

579

Scholarly Papers (68)

1.

Cryptocurrencies: Economic Benefits and Risks

University of Manchester, FinTech working paper no. 2, October 2017
Number of pages: 56 Posted: 27 Oct 2017 Last Revised: 15 Nov 2017
Octavian Nica, Karolina Piotrowska and Klaus Reiner Schenk-Hoppé
University of Manchester, Faculty of Humanities, School of Social Sciences, Department of Economics, Students, University of Manchester, Faculty of Humanities, School of Social Sciences, Department of Economics, Students and University of Manchester - Department of Economics
Downloads 2,581 (6,307)
Citation 5

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Cryptocurrencies, blockchain, ICO, Bitcoin, altcoin, decentralisation, market efficiency, financial stability

2.

An Evolutionary Portfolio Theory

Working Paper No. 74
Number of pages: 27 Posted: 21 Jun 2001
Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads 1,739 (11,958)
Citation 8

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Portfolio theory, evolutionary finance, incomplete markets

3.

Evolutionary Finance

Swiss Finance Institute Research Paper No. 08-14
Number of pages: 60 Posted: 04 Jul 2008 Last Revised: 17 Dec 2008
Igor V. Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads 1,362 (17,570)
Citation 6

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Evolutionary Finance, Wealth Dynamics, Market Interaction

4.

Economic Growth and Business Cycles: A Critical Comment on Detrending Time Series

Institute for Empirical Research in Economics Working Paper No. 54
Number of pages: 20 Posted: 22 Nov 2000
Klaus Reiner Schenk-Hoppé
University of Manchester - Department of Economics
Downloads 1,160 (22,327)
Citation 15

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Detrending, Business Cycles, Random Dynamical Systems

5.
Downloads 992 ( 28,015)
Citation 43

Random Dynamical Systems in Economics

University of Zurich, IEER Working Paper No. 67
Number of pages: 21 Posted: 04 Apr 2002
Klaus Reiner Schenk-Hoppé
University of Manchester - Department of Economics
Downloads 992 (27,593)
Citation 43

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Random Dynamical Systems in Economics

Posted: 08 Aug 2001
Klaus Reiner Schenk-Hoppé
University of Manchester - Department of Economics

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6.

From Rags to Riches: On Constant Proportions Investment Strategies

IEER Working Paper No. 89
Number of pages: 16 Posted: 17 Oct 2001
Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences and University of Manchester - Department of Economics
Downloads 981 (28,454)
Citation 39

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7.

The Joy of Volatility

FINRISK Working Paper No. 374
Number of pages: 6 Posted: 28 Apr 2007
M. A. H. Dempster, Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Cambridge - Centre for Financial Research, University of Manchester - Economics, School of Social Sciences and University of Manchester - Department of Economics
Downloads 901 (32,131)

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Volatility, capital growth, investment, constant proportions strategies

8.

Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance

FINRISK Working Paper No. 361, Swiss Finance Institute Research Paper No. 07-10
Number of pages: 23 Posted: 23 Feb 2007 Last Revised: 04 Dec 2007
Rolf Poulsen, Klaus Reiner Schenk-Hoppé and Christian-Oliver Ewald
University of Copenhagen - Department of Statistics and Operations Research, University of Manchester - Department of Economics and University of Glasgow
Downloads 872 (33,589)
Citation 14

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Locally risk-minimizing hedge, delta hedge, stochastic volatility,

9.

Cryptocurrencies: Concept and Current Market Structure

University of Manchester, FinTech working paper no. 1, October 2017
Number of pages: 65 Posted: 27 Oct 2017 Last Revised: 13 Nov 2017
Octavian Nica, Karolina Piotrowska and Klaus Reiner Schenk-Hoppé
University of Manchester, Faculty of Humanities, School of Social Sciences, Department of Economics, Students, University of Manchester, Faculty of Humanities, School of Social Sciences, Department of Economics, Students and University of Manchester - Department of Economics
Downloads 850 (34,830)
Citation 2

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Cryptocurrencies, blockchain, Bitcoin, mining, governance, decentralisation

10.
Downloads 800 ( 37,824)
Citation 1

Financial Markets and Stochastic Growth

Zurich IEER Working Paper No. 66
Number of pages: 29 Posted: 07 Feb 2001
Leonard J. Mirman and Klaus Reiner Schenk-Hoppé
University of Virginia - Department of Economics and University of Manchester - Department of Economics
Downloads 782 (38,458)
Citation 1

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Financial Markets and Stochastic Growth

Number of pages: 18 Posted: 12 Sep 2003
Leonard J. Mirman and Klaus Reiner Schenk-Hoppé
University of Virginia - Department of Economics and University of Manchester - Department of Economics
Downloads 18 (664,713)
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11.

Random Fixed Points in a Stochastic Solow Growth Model

Zurich IEER Working Paper No. 65
Number of pages: 15 Posted: 07 Feb 2001
Bjorn Schmalfuss and Klaus Reiner Schenk-Hoppé
University of Applied Sciences Merseburg and University of Manchester - Department of Economics
Downloads 788 (38,635)
Citation 48

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Solow Growth Model; Random Dynamical Systems; Random Fixed Points; Ergodic Markov Equilibria

12.

Growing Wealth with Fixed-Mix Strategies

Swiss Finance Institute Research Paper No. 09-37
Number of pages: 34 Posted: 28 Sep 2009 Last Revised: 14 Dec 2009
M. A. H. Dempster, Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Cambridge - Centre for Financial Research, University of Manchester - Economics, School of Social Sciences and University of Manchester - Department of Economics
Downloads 698 (45,524)
Citation 2

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Volatility, Constant proportions strategies, Fixed-mix strategies, Financial markets, Investment, Exponential growth, Transaction costs

13.

Market Selection and Survival of Investment Strategies

Zurich IEER Working Paper No. 91
Number of pages: 23 Posted: 14 Nov 2001
Rabah Amir, Klaus Reiner Schenk-Hoppé, Igor V. Evstigneev and Thorsten Hens
University of Arizona - Department of Economics, University of Manchester - Department of Economics, University of Manchester - Economics, School of Social Sciences and University of Zurich - Department of Banking and Finance
Downloads 619 (53,367)
Citation 44

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evolutionary finance, portfolio theory, investment strategies, CAPM, market selection, incomplete markets

Is There a Golden Rule for the Stochastic Solow Growth Model?

Zurich IEER Working Paper No. 33
Number of pages: 25 Posted: 16 Oct 2000
Klaus Reiner Schenk-Hoppé
University of Manchester - Department of Economics
Downloads 619 (52,697)
Citation 43

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Stochastic Solow model, Golden Rule, random fixed points, random dynamical systems.

Is There a Golden Rule for the Stochastic Solow Growth Model?

Posted: 18 Jul 2001
Klaus Reiner Schenk-Hoppé
University of Manchester - Department of Economics

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Stochastic Solow model, Golden Rule, random fixed points, random dynamical systems.

15.

Exponential Growth of Fixed-Mix Strategies in Stationary Asset Markets

U of Cambridge Working Paper No. WP 01/2002
Number of pages: 16 Posted: 11 Apr 2002
M. A. H. Dempster, Klaus Reiner Schenk-Hoppé and Igor V. Evstigneev
University of Cambridge - Centre for Financial Research, University of Manchester - Department of Economics and University of Manchester - Economics, School of Social Sciences
Downloads 563 (60,069)
Citation 3

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Asset allocation, Fixed-mix strategies, Stationary markets, Exponential growth, Products of random matrices, Stochastic version of the Perron-Frobenius theorem

Market Selection of Financial Trading Strategies: Global Stability

Zurich IEER Working Paper No. 83, Finrisk Working Paper No. 11
Number of pages: 17 Posted: 08 Aug 2001
Igor V. Evstigneev, Klaus Reiner Schenk-Hoppé and Thorsten Hens
University of Manchester - Economics, School of Social Sciences, University of Manchester - Department of Economics and University of Zurich - Department of Banking and Finance
Downloads 531 (63,898)
Citation 34

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Evolutionary finance, market selection, incomplete markets, Kelly rule

Market Selection of Financial Trading Strategies: Global Stability

Number of pages: 11 Posted: 07 Feb 2003
Igor V. Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads 18 (664,713)
Citation 2
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17.

Evolutionary Behavioural Finance

Swiss Finance Institute Research Paper No. 15-16
Number of pages: 29 Posted: 06 Jun 2015
Igor V. Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads 519 (66,480)

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18.

An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index

Zurich IEER Working Paper No. 128
Number of pages: 28 Posted: 19 Feb 2003
Thorsten Hens, Klaus Reiner Schenk-Hoppé and Martin Stalder
University of Zurich - Department of Banking and Finance, University of Manchester - Department of Economics and Universitat Zurich
Downloads 487 (71,969)
Citation 38

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Evolutionary Finance, Behavioral Finance, CAPM, Rebalancing Rules, Growth Optimal Portfolio

19.

Stochastic Tastes and Money in a Neo-Keynesian Economy

Zurich IEER Working Paper No. 88
Number of pages: 21 Posted: 17 Oct 2001
Klaus Reiner Schenk-Hoppé
University of Manchester - Department of Economics
Downloads 467 (75,822)
Citation 33

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Microeconomic models of money, stochastic preferences, fix-price equilibria, rationing, dynamics of money distributions

20.

Costs and Benefits of Financial Regulation: Short-Selling Bans and Transaction Taxes

Swiss Finance Institute Research Paper No. 12-27
Number of pages: 57 Posted: 14 Aug 2012 Last Revised: 01 Nov 2014
Terje Lensberg, Klaus Reiner Schenk-Hoppé and Daniel Ladley
Norwegian School of Economics (NHH) - Department of Finance, University of Manchester - Department of Economics and University of Leicester - School of Business
Downloads 466 (76,030)
Citation 2

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financial regulation, portfolio management, market microstructure

21.

Volatility-Induced Financial Growth

FINRISK Working Paper No. 131
Number of pages: 23 Posted: 14 Jun 2007
M. A. H. Dempster, Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Cambridge - Centre for Financial Research, University of Manchester - Economics, School of Social Sciences and University of Manchester - Department of Economics
Downloads 466 (76,030)
Citation 3

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Volatility, constant proportions strategies, financial markets, investment, exponential growth, transaction costs

22.

Evolution of Portfolio Rules in Incomplete Markets

Zurich IEER Working Paper No. 74
Number of pages: 31 Posted: 26 Oct 2001
Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads 462 (76,793)
Citation 36

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Portfolio theory, evolutionary finance, incomplete markets

Asset Market Games of Survival: A Synthesis of Evolutionary and Dynamic Games

Swiss Finance Institute Research Paper No. 08-31
Number of pages: 34 Posted: 27 Oct 2008 Last Revised: 10 Jan 2011
Rabah Amir, Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Arizona - Department of Economics, University of Manchester - Economics, School of Social Sciences and University of Manchester - Department of Economics
Downloads 419 (85,379)
Citation 9

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evolutionary finance, dynamic games, stochastic games, evolutionary game theory, games of survival.

Asset Market Games of Survival

EFA 2009 Bergen Meetings Paper
Number of pages: 15 Posted: 17 Feb 2009
Rabah Amir, Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Arizona - Department of Economics, University of Manchester - Economics, School of Social Sciences and University of Manchester - Department of Economics
Downloads 41 (518,254)
Citation 1

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evolutionary finance, dynamic games, stochastic games, games of survival

24.

On the Evolution of Investment Strategies and the Kelly Rule - a Darwinian Approach

Swiss Finance Institute Research Paper No. 06-38
Number of pages: 30 Posted: 13 Dec 2006
Terje Lensberg and Klaus Reiner Schenk-Hoppé
Norwegian School of Economics (NHH) - Department of Finance and University of Manchester - Department of Economics
Downloads 460 (77,181)
Citation 4

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Evolutionary finance, portfolio choice, asset pricing, genetic programming

25.

Closed-Form Solutions for European and Digital Calls in the Hull and White Stochastic Volatility Model and Their Relation to Locally R-Minimizing and Delta Hedges

Swiss Finance Institute Research Paper No. 07-11
Number of pages: 22 Posted: 20 Jan 2007
Christian-Oliver Ewald, Klaus Reiner Schenk-Hoppé and Zhaojun Yang
University of Glasgow, University of Manchester - Department of Economics and Southern University of Science and Technology - Department of Finance
Downloads 454 (78,370)

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Stochastic volatility models, incomplete markets, Delta hedging, locally R-minimizing hedging strategies, Malliavin calculus

On the Micro-Foundations of Money: The Capitol Hill Baby-Sitting Co-Op

Zurich IEER Working Paper No. 108
Number of pages: 31 Posted: 13 Mar 2002 Last Revised: 23 Dec 2011
Thorsten Hens, Klaus Reiner Schenk-Hoppé and Bodo Vogt
University of Zurich - Department of Banking and Finance, University of Manchester - Department of Economics and Bielefeld University - Center for Mathematical Economics
Downloads 308 (120,983)
Citation 26

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micro foundations of money, optimal quantity of money

On the Micro-Foundations of Money: The Capitol Hill Baby-Sitting Co-Op

HWWA Working Paper No. 255
Number of pages: 24 Posted: 08 Jan 2004 Last Revised: 21 Nov 2011
Thorsten Hens, Klaus Reiner Schenk-Hoppé and Bodo Vogt
University of Zurich - Department of Banking and Finance, University of Manchester - Department of Economics and Bielefeld University - Center for Mathematical Economics
Downloads 74 (391,049)
Citation 1

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micro foundations of money, optimal, quantity of money

27.

Business Cycle Phenomena in Overlapping Generations Economies with Stochastic Production

Zurich IEER Working Paper No. 30
Number of pages: 22 Posted: 06 Nov 2000
Jens-Ulrich Peter and Klaus Reiner Schenk-Hoppé
Bielefeld University and University of Manchester - Department of Economics
Downloads 373 (98,504)
Citation 45

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overlapping generations, real business cycles, technology shocks, random dynamical

28.

From Discrete to Continuous Time Evolutionary Finance Models

Swiss Finance Institute Research Paper No. 08-30
Number of pages: 28 Posted: 28 Oct 2008
Jan Palczewski and Klaus Reiner Schenk-Hoppé
University of Leeds - School of Mathematics and University of Manchester - Department of Economics
Downloads 356 (103,883)
Citation 3

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evolutionary finance, market interaction, wealth dynamics, self-financing strategies, endogenous prices

29.

Firm Life Cycles Under Additive Shocks

Swiss Finance Institute Research Paper No. 10-39
Number of pages: 28 Posted: 30 Sep 2010 Last Revised: 01 Dec 2011
Klaus Reiner Schenk-Hoppé and Urs Schweri
University of Manchester - Department of Economics and University of Zurich
Downloads 351 (105,477)

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Firm life cycle; financing constraints; additive production shock; optimal dividend and investment policy.

30.

Survival and Evolutionary Stability of the Kelly Rule

Swiss Finance Institute Research Paper No. 09-32
Number of pages: 17 Posted: 07 Sep 2009
Igor V. Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads 340 (109,346)
Citation 5

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evolutionary finance, wealth dynamics, survival and extinction of portfolio rules, evolutionary stability, Kelly rule

Front-Running and Market Quality: An Evolutionary Perspective on High Frequency Trading

Swiss Finance Institute Research Paper No. 17-10
Number of pages: 23 Posted: 23 Mar 2017 Last Revised: 12 Sep 2017
Thorsten Hens, Terje Lensberg and Klaus Reiner Schenk-Hoppé
University of Zurich - Department of Banking and Finance, Norwegian School of Economics (NHH) - Department of Finance and University of Manchester - Department of Economics
Downloads 313 (118,890)
Citation 1

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Front running; HFT; market quality

Front‐Running and Market Quality: An Evolutionary Perspective on High Frequency Trading

International Review of Finance, Vol. 18, Issue 4, pp. 727-741, 2018
Number of pages: 15 Posted: 07 Dec 2018
Thorsten Hens, Terje Lensberg and Klaus Reiner Schenk-Hoppé
University of Zurich - Department of Banking and Finance, Norwegian School of Economics (NHH) - Department of Finance and University of Manchester - Department of Economics
Downloads 1 (813,745)
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32.

Local Stability Analysis of a Stochastic Evolutionary Financial Market Model with a Risk-free Asset

Swiss Finance Institute Research Paper No. 10-36
Number of pages: 26 Posted: 04 Sep 2010 Last Revised: 17 Nov 2011
Igor V. Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads 312 (120,047)
Citation 2

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Evolutionary finance, risk-free asset, local stability, linearization, random dynamical systems

33.

Sample-Path Stability of Non-Stationary Dynamic Economic Systems

Institute for Empirical Research in Economics Working Paper No. 46
Number of pages: 21 Posted: 22 Nov 2000
Klaus Reiner Schenk-Hoppé
University of Manchester - Department of Economics
Downloads 306 (122,559)
Citation 34

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34.

Resuscitating the Cobweb Cycle

U of Zurich, Inst. for Empirical Economic Research Working Paper No. 123
Number of pages: 8 Posted: 16 Sep 2002
Klaus Reiner Schenk-Hoppé
University of Manchester - Department of Economics
Downloads 304 (123,407)

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Cobweb model, rational beliefs, rational expectations

35.

Do Stylised Facts of Order Book Markets Need Strategic Behaviour?

Swiss Finance Institute Research Paper No. 07-20
Number of pages: 27 Posted: 02 Jul 2007
Daniel Ladley and Klaus Reiner Schenk-Hoppé
University of Leicester - School of Business and University of Manchester - Department of Economics
Downloads 303 (123,837)
Citation 2

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Order book markets, stylised facts, market mechanism, strategic behaviour, price dynamics, order flow behaviour, Limit order book, order behaviour

36.

Dynamic Portfolio Optimization with Transaction Costs and State-Dependent Drift

Norwegian School of Economics (NHH), Department of Finance Working Paper No. 2014-1
Number of pages: 38 Posted: 31 Oct 2013 Last Revised: 13 Jan 2014
Jan Palczewski, Rolf Poulsen, Klaus Reiner Schenk-Hoppé and Huamao Wang
University of Leeds - School of Mathematics, University of Copenhagen - Department of Statistics and Operations Research, University of Manchester - Department of Economics and University of Kent - Kent Business School
Downloads 288 (130,660)
Citation 3

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Portfolio choice, State-dependent drift, Transaction costs, Numerical methods, Dynamic programming

37.

Smart-Beta Herding and Its Economic Risks: Riding the Dragon?

FinTech working paper no. 3, 2018
Number of pages: 54 Posted: 09 Oct 2018
Eduard Krkoska and Klaus Reiner Schenk-Hoppé
University of Manchester, Faculty of Humanities, School of Social Sciences, Department of Economics, Students and University of Manchester - Department of Economics
Downloads 278 (135,553)

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Smart beta, factor investing, herding

38.

Forecasting Customer Behaviour in a Multi-Service Financial Organisation: A Profitability Perspective

International Journal of Forecasting, Vol. 28, No. 2, 507-518
Number of pages: 30 Posted: 25 Nov 2010 Last Revised: 04 Sep 2014
Alena Audzeyeva, Barbara Summers and Klaus Reiner Schenk-Hoppé
Keele University - Keele Management School, University of Leeds - Faculty of Business and University of Manchester - Department of Economics
Downloads 272 (138,652)

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Finance, Profitability Forecasting, Bootstrapping, Customer Lifetime Value, CLV Models, Customer Relationship Management

39.

Poverty Traps and Business Cycles in a Stochastic Overlapping Generations Economy with S-Shaped Law of Motion

U of Copenhagen, Economics Discussion Paper No. 02-13
Number of pages: 16 Posted: 03 Dec 2002
Klaus Reiner Schenk-Hoppé
University of Manchester - Department of Economics
Downloads 272 (138,652)

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S-shaped stochastic law of motion, random dynamical systems, poverty traps, business cycles, production shocks

40.

Patience is a Virtue - In Value Investing

Swiss Finance Institute Research Paper No. 18-26
Number of pages: 22 Posted: 23 Mar 2018 Last Revised: 02 Apr 2018
Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads 242 (155,741)

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Financial market stability; delegated fund management; investor patience; agent-based modeling; evolutionary finance

41.

Markets Do Not Select for a Liquidity Preference as Behavior Towards Risk

U of Copenhagen Institute of Economics Working Paper No. 02-18, Zurich IEER Working Paper No. 139
Number of pages: 16 Posted: 27 Jan 2003
Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads 242 (155,741)

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demand for money, portfolio theory, evolutionary finance

42.

Market Selection of Constant Proportions Investment Strategies in Continuous Time

Swiss Finance Institute Research Paper No. 08-29
Number of pages: 32 Posted: 28 Oct 2008 Last Revised: 18 Nov 2008
Jan Palczewski and Klaus Reiner Schenk-Hoppé
University of Leeds - School of Mathematics and University of Manchester - Department of Economics
Downloads 221 (169,985)
Citation 4

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evolutionary finance, wealth dynamics, endogenous asset prices, random dynamical systems

43.

The Great Capitol Hill Baby Sitting Co-Op: Anecdote or Evidence for the Optimum Quantity of Money?

Number of pages: 43 Posted: 22 Jun 2006 Last Revised: 21 Nov 2011
Thorsten Hens, Klaus Reiner Schenk-Hoppé and Bodo Vogt
University of Zurich - Department of Banking and Finance, University of Manchester - Department of Economics and Bielefeld University - Center for Mathematical Economics
Downloads 220 (170,663)
Citation 2

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Microeconomic foundation of money, optimum quantity of money, experimental monetary economics

44.

The Von Neumann-Gale Growth Model and its Stochastic Generalization

National Centre of Competence in Research FINRISK Working Paper No. 208
Number of pages: 48 Posted: 09 Mar 2006
Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences and University of Manchester - Department of Economics
Downloads 203 (184,039)

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von Neumann-Gale model, stochastic generalization, financial applications

45.

Globally Evolutionarily Stable Portfolio Rules

FINRISK Working Paper No. 238
Number of pages: 43 Posted: 20 Sep 2005 Last Revised: 23 Nov 2007
Igor V. Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads 203 (184,039)
Citation 4

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Evolutionary Finance, Wealth Dynamics, Survival and Extinction of Portfolio Rules, Evolutionary Stability, Kelly Rule

46.

Sovereign Rating Transitions and the Price of Default Risk in Emerging Markets

Swiss Finance Institute Research Paper No. 07-18
Number of pages: 37 Posted: 02 Jul 2007
Alena Audzeyeva and Klaus Reiner Schenk-Hoppé
Keele University - Keele Management School and University of Manchester - Department of Economics
Downloads 202 (184,937)

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Emerging markets, sovereign default, rating transitions, yield spreads, default premia

47.

Evolutionary Stable Stock Markets

Zurich IEER Working Paper No. 170
Number of pages: 25 Posted: 04 Dec 2003
Igor V. Evstigneev, Klaus Reiner Schenk-Hoppé and Thorsten Hens
University of Manchester - Economics, School of Social Sciences, University of Manchester - Department of Economics and University of Zurich - Department of Banking and Finance
Downloads 186 (199,187)
Citation 11

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evolutionary finance, portfolio theory, incomplete markets

48.

Parking: Unwanted Insights from Economics

Number of pages: 9 Posted: 08 May 2008
Klaus Reiner Schenk-Hoppé
University of Manchester - Department of Economics
Downloads 148 (241,832)

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Parking

49.

Herding in Smart-Beta Investment Products

Number of pages: 29 Posted: 10 Apr 2019
Eduard Krkoska and Klaus Reiner Schenk-Hoppé
University of Manchester, Faculty of Humanities, School of Social Sciences, Department of Economics, Students and University of Manchester - Department of Economics
Downloads 139 (254,399)

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herding, factor investing, risk

50.

Behavioral Equilibrium and Evolutionary Dynamics in Asset Markets

Swiss Finance Institute Research Paper No. 20-19, Forthcoming, Journal of Mathematical Economics
Number of pages: 41 Posted: 09 Apr 2020 Last Revised: 14 Sep 2020
Igor V. Evstigneev, Thorsten Hens, Valeriya Potapova and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance, University of Manchester - Department of Economics and University of Manchester - Department of Economics
Downloads 135 (260,260)

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Evolutionary finance, Behavioral finance, Stochastic dynamic games, DSGE, survival portfolio rules.

51.

The Role of Country, Regional and Global Market Risks in the Dynamics of Latin American Yield Spreads

Journal of International Financial Markets, Institutions and Money, Vol. 20, 404-402
Number of pages: 26 Posted: 09 Mar 2008 Last Revised: 04 Sep 2014
Alena Audzeyeva and Klaus Reiner Schenk-Hoppé
Keele University - Keele Management School and University of Manchester - Department of Economics
Downloads 122 (280,835)
Citation 1

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Emerging market debt, yield spreads, Eurobonds, market risks

52.

Taxing Financial Transactions

Number of pages: 4 Posted: 21 Feb 2013
Terje Lensberg and Klaus Reiner Schenk-Hoppé
Norwegian School of Economics (NHH) - Department of Finance and University of Manchester - Department of Economics
Downloads 119 (285,998)

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Financial regulation, stock markets, transaction taxes

53.

An Evolutionary Explanation of the Value Premium Puzzle

NCCR Financial Valuation and Risk Management Working Paper No. 280
Number of pages: 17 Posted: 26 Jul 2010
Thorsten Hens, Terje Lensberg, Klaus Reiner Schenk-Hoppé and Peter Woehrmann
University of Zurich - Department of Banking and Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Manchester - Department of Economics and University of Zurich
Downloads 111 (300,107)
Citation 2

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Value Premium, Evolutionary Finance

54.

Consumption Paths Under Prospect Utility in an Optimal Growth Model

Swiss Finance Institute Research Paper No. 10-38
Number of pages: 22 Posted: 09 Oct 2010
Reto Foellmi, Rina Rosenblatt-Wisch and Klaus Reiner Schenk-Hoppé
University of St. Gallen - Swiss Institute for International Economics and Applied Economic Research, Swiss National Bank and University of Manchester - Department of Economics
Downloads 109 (303,959)

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Ramsey growth model; prospect theory; loss aversion; optimal consumption

55.

Fragmentation and Stability of Markets

Norwegian School of Economics (NHH), Department of Finance Working Paper No. 2013-7
Number of pages: 41 Posted: 03 Aug 2013 Last Revised: 15 Oct 2015
Daniel Ladley, Terje Lensberg, Jan Palczewski and Klaus Reiner Schenk-Hoppé
University of Leicester - School of Business, Norwegian School of Economics (NHH) - Department of Finance, University of Leeds - School of Mathematics and University of Manchester - Department of Economics
Downloads 96 (330,692)
Citation 1

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Skills, market fragmentation, volatility, market resilience

56.

Margin Requirements and Evolutionary Asset Pricing

Swiss Finance Institute Research Paper No. 17-20
Number of pages: 41 Posted: 14 Jun 2017
Anastasiia Sokko and Klaus Reiner Schenk-Hoppé
University of Zurich, Department of Banking and Finance and University of Manchester - Department of Economics
Downloads 84 (359,490)

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Margin Trading; Short Selling; Brokers; Evolutionary Finance

57.

Von Neumann-Gale Model, Market Frictions, and Capital Growth

Number of pages: 40 Posted: 15 Jan 2019
Esmaeil Babaei, Igor V. Evstigneev, Klaus Reiner Schenk-Hoppé and Mikhail Zhitlukhin
University of Manchester, Faculty of Humanities, School of Social Sciences, Department of Economics, Students, University of Manchester - Economics, School of Social Sciences, University of Manchester - Department of Economics and Steklov Mathematical Institute
Downloads 77 (378,175)
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capital growth theory, transaction costs, benchmark strategies, numeraire portfolios, random dynamical systems, convex multivalued operators, von Neumann-Gale dynamical systems, rapid paths

58.

Stochastic Equilibria in Von Neumann-Gale Dynamical Systems

Number of pages: 21 Posted: 03 Nov 2006
Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences and University of Manchester - Department of Economics
Downloads 70 (398,709)
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Random dynamical systems, convex multivalued operators, von Neumann-Gale model, rapid paths, convex duality, stochastic equilibrium

59.

The Resolution of Long-Run Risk

Number of pages: 33 Posted: 24 May 2019
Myroslav Pidkuyko, Raffaele Rossi and Klaus Reiner Schenk-Hoppé
Banco de España, University of Manchester - Department of Economics and University of Manchester - Department of Economics
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Durable Goods, Long-Run Risk Models, Particle Filtering, Timing and Risk Premium

60.

Pricing Defaulted Italian Mortgages

Number of pages: 17 Posted: 08 Dec 2019 Last Revised: 13 Jan 2020
Michela Pelizza and Klaus Reiner Schenk-Hoppé
University of Manchester, Faculty of Humanities, School of Social Sciences, Department of Economics, Students and University of Manchester - Department of Economics
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Italy, defaulted mortgages, recovery rates, calibration

61.

Pure and Randomized Equilibria in the Stochastic Von Neumann-Gale Model

University of Manchester Economics Discussion Paper No. EDP-0603
Number of pages: 25 Posted: 02 Mar 2006
Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences and University of Manchester - Department of Economics
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C61, C62, O41

62.

(Un)Anticipated Technological Change in an Endogenous Growth Model

National Centre of Competence in Research Financial Valuation and Risk Management Working Paper No. 461
Number of pages: 21 Posted: 07 May 2008
Bruce A. Conway, Rina Rosenblatt-Wisch and Klaus Reiner Schenk-Hoppé
affiliation not provided to SSRN, Swiss National Bank and University of Manchester - Department of Economics
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Two-sector endogenous growth model, technology shock, frictions, Runge-Kutta parallel-shooting algorithm.

63.

'Managing Demand' for Peer Reviews

Number of pages: 10 Posted: 02 Apr 2009
Klaus Reiner Schenk-Hoppé
University of Manchester - Department of Economics
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Grant applications, peer review, costing, externality

64.

International Trade: Smarten Up to Talk the Talk

Number of pages: 67 Posted: 06 Oct 2019 Last Revised: 04 Dec 2019
Levi Haas and Klaus Reiner Schenk-Hoppé
University of Manchester, Faculty of Humanities, School of Social Sciences, Department of Economics, Students and University of Manchester - Department of Economics
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Introduction to International Trade; History of Trade; Trade Models; Costs and Benefits of Trade; Trade Restrictions; Free Trade

65.

Itchy Feet vs Cool Heads: Flow of Funds in an Agent-Based Financial Market

Number of pages: 37 Posted: 30 Jun 2015
Jan Palczewski, Klaus Reiner Schenk-Hoppé and Tongya Wang
University of Leeds - School of Mathematics, University of Manchester - Department of Economics and University of Oxford - Said Business School
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Portfolio management, agent-based financial market, evolutionary finance, flow of funds

66.

Cold Play: Learning Across Bimatrix Games

Journal of Economic Behavior and Organization, Vol. 185, 2021
Number of pages: 40 Posted: 08 Aug 2019 Last Revised: 25 Mar 2021
Terje Lensberg and Klaus Reiner Schenk-Hoppé
Norwegian School of Economics (NHH) - Department of Finance and University of Manchester - Department of Economics
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One-shot games, solution concepts, genetic programming, evolutionary stability

67.

Hedging without Sweat: A Genetic Programming Approach

Quantitative Finance Letters, Volume 1, 2013
Number of pages: 20 Posted: 03 Aug 2013 Last Revised: 26 May 2017
Terje Lensberg and Klaus Reiner Schenk-Hoppé
Norwegian School of Economics (NHH) - Department of Finance and University of Manchester - Department of Economics
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Hedging, transaction costs, closed-form approximations, genetic programming

68.

Evolution in Pecunia

Swiss Finance Institute Research Paper 20-44
Posted: 05 Jun 2020 Last Revised: 13 Jan 2021
Rabah Amir, Igor V. Evstigneev, Thorsten Hens, Valeriya Potapova and Klaus Reiner Schenk-Hoppé
University of Iowa - Henry B. Tippie College of Business - Department of Economics, University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance, University of Manchester - Department of Economics and University of Manchester - Department of Economics

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Evolutionary finance, financial markets, evolutionarily stable investment strategies, survival, stochastic dynamics, local stability