On the Evolution of Investment Strategies and the Kelly Rule A Darwinian Approach

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@Article{Lensberg:2007:RoF,
  author =       "Terje Lensberg and Klaus Reiner Schenk-Hoppe",
  title =        "On the Evolution of Investment Strategies and the
                 Kelly Rule A Darwinian Approach",
  journal =      "Review of Finance",
  year =         "2007",
  volume =       "11",
  number =       "1",
  pages =        "25--50",
  keywords =     "genetic algorithms, genetic programming, Evolutionary
                 finance, portfolio choice",
  URL =          "http://www.univie.ac.at/rof/papers/pdf/Lensberg-Schenk-Hoppe_Kelly%20Rule.pdf",
  URL =          "http://www.nccr-finrisk.unizh.ch/media/pdf/RoF07_Vol11_pages25_50.pdf",
  size =         "26 pages",
  abstract =     "This paper complements theoretical studies on the
                 Kelly rule in evolutionary finance by studying a
                 Darwinian model of selection and reproduction in which
                 the diversity of investment strategies is maintained
                 through genetic programming.We find that investment
                 strategies which optimise long-term performance can
                 emerge in markets populated by unsophisticated
                 investors. Regardless whether the market is complete or
                 incomplete and whether states are i.i.d. or Markov, the
                 Kelly rule is obtained as the asymptotic outcome. With
                 price-dependent rather than just state-dependent
                 investment strategies, the market portfolio plays an
                 important role as a protection against severe losses in
                 volatile markets",
  notes =        "http://www.revfin.org/",
}

Genetic Programming entries for Terje Lensberg Klaus Reiner Schenk-Hoppe

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