search query: @author Lensberg, T. / total: 2
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| Author: | Lensberg, T. Schenk-Hoppé, K.R. |
| Title: | On the evolution of investment strategies and the Kelly Rule - A Darwinian approach |
| Journal: | Review of finance
2007 : MAR, VOL. 11:1, p. 25-50 |
| Index terms: | finance investments strategy securities stock markets theories models |
| Language: | eng |
| Abstract: | This paper examines a Darwinian model of selection and reproduction in which the diversity of investment strategies is maintained through genetic programming, complementing theoretical studies on the Kelly rule in evolutionary finance. It is found among others that investment strategies which optimize long-term performance can emerge in markets populated by unsophisticated investors etc. |
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