Survival and Evolutionary Stability of the Kelly Rule
17 Pages Posted: 7 Sep 2009
Date Written: August 18, 2009
This chapter gives an overview of current research in evolutionary finance. We mainly focus on the survival and stability properties of investment strategies associated with the Kelly rule. Our approach to the study of the wealth dynamics of investment strategies is inspired by Darwinian ideas on selection and mutation. The goal of this research is to develop an evolutionary framework for practical investment advice.
Keywords: evolutionary finance, wealth dynamics, survival and extinction of portfolio rules, evolutionary stability, Kelly rule
JEL Classification: G11, C61, C62
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