Survival and Evolutionary Stability of the Kelly Rule

17 Pages Posted: 7 Sep 2009

See all articles by Igor V. Evstigneev

Igor V. Evstigneev

University of Manchester - Economics, School of Social Sciences

Thorsten Hens

University of Zurich - Department of Banking and Finance; Norwegian School of Economics and Business Administration (NHH); Swiss Finance Institute

Klaus Reiner Schenk-Hoppé

University of Manchester - Department of Economics; Norwegian School of Economics (NHH) - Department of Finance

Date Written: August 18, 2009

Abstract

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

Suggested Citation

Evstigneev, Igor V. and Hens, Thorsten and Schenk-Hoppé, Klaus Reiner, Survival and Evolutionary Stability of the Kelly Rule (August 18, 2009). Swiss Finance Institute Research Paper No. 09-32, Available at SSRN: https://ssrn.com/abstract=1468523 or http://dx.doi.org/10.2139/ssrn.1468523

Igor V. Evstigneev

University of Manchester - Economics, School of Social Sciences ( email )

Oxford Road
Manchester, M13 9PL
United Kingdom
+44 161 2754275 (Phone)
+44 161 2754812 (Fax)

HOME PAGE: http://www.evstigneev.net

Thorsten Hens

University of Zurich - Department of Banking and Finance ( email )

Plattenstrasse 32
Zurich, 8032
Switzerland
+41-44 634 37 06 (Phone)

Norwegian School of Economics and Business Administration (NHH)

Helleveien 30
Bergen, 5045
Norway

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Klaus Reiner Schenk-Hoppé (Contact Author)

University of Manchester - Department of Economics ( email )

Arthur Lewis Building
Oxford Road
Manchester, M13 9PL
United Kingdom

Norwegian School of Economics (NHH) - Department of Finance ( email )

Helleveien 30
N-5045 Bergen
Norway

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