Klaus Reiner Schenk-Hoppé

University of Manchester - Department of Economics

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

56

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CITATIONS
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147

Scholarly Papers (56)

1.

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 1,536 (8,461)
Citation 1

Abstract:

Portfolio theory, evolutionary finance, incomplete markets

2.

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 1,124 (14,296)

Abstract:

Detrending, Business Cycles, Random Dynamical Systems

3.
Downloads 988 ( 17,718)
Citation 6

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 988 (17,388)
Citation 6

Abstract:

Random Dynamical Systems in Economics

Stochastics and Dynamics, Vol. 1, 2001
Posted: 08 Aug 2001
Klaus Reiner Schenk-Hoppé
University of Manchester - Department of Economics

Abstract:

4.

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 972 (14,367)
Citation 7

Abstract:

Evolutionary Finance, Wealth Dynamics, Market Interaction

5.

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 961 (18,452)
Citation 6

Abstract:

6.
Downloads 793 ( 24,506)
Citation 2

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 775 (24,927)
Citation 2

Abstract:

Financial Markets and Stochastic Growth

Review of International Economics, Vol. 11, pp. 219-236, May 2003
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 (476,470)
Citation 2
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Abstract:

7.

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 792 (22,822)
Citation 5

Abstract:

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

8.

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 775 (25,239)
Citation 4

Abstract:

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

9.

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 696 (27,093)
Citation 2

Abstract:

Volatility, capital growth, investment, constant proportions strategies

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 612 (34,550)
Citation 1

Abstract:

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

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

Macroeconomic Dynamics, Forthcoming
Posted: 18 Jul 2001
Klaus Reiner Schenk-Hoppé
University of Manchester - Department of Economics

Abstract:

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

11.

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 606 (35,364)
Citation 10

Abstract:

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

12.

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 550 (40,284)
Citation 8

Abstract:

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 520 (42,817)
Citation 16

Abstract:

Evolutionary finance, market selection, incomplete markets, Kelly rule

Market Selection of Financial Trading Strategies: Global Stability

Mathematical Finance, Vol. 12, pp. 329-339, 2002
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 (476,470)
Citation 16
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Abstract:

14.

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 460 (50,283)

Abstract:

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

15.

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 453 (51,269)
Citation 11

Abstract:

Portfolio theory, evolutionary finance, incomplete markets

16.

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 419 (41,521)

Abstract:

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

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 387 (61,866)
Citation 4

Abstract:

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 32 (401,814)
Citation 4

Abstract:

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

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 412 (53,579)
Citation 5

Abstract:

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

19.

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 407 (54,189)
Citation 5

Abstract:

Evolutionary finance, portfolio choice, asset pricing, genetic programming

20.

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 404 (54,928)

Abstract:

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

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 396 (59,508)
Citation 4

Abstract:

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

22.

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 - Department of Economics
Downloads 372 (55,557)

Abstract:

financial regulation, portfolio management, market microstructure

23.

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 368 (65,837)
Citation 3

Abstract:

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

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 302 (82,559)
Citation 1

Abstract:

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 54 (324,393)
Citation 1

Abstract:

micro foundations of money, optimal, quantity of money

25.

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 329 (71,705)
Citation 1

Abstract:

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

26.

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 312 (73,158)

Abstract:

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

27.

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 299 (83,675)

Abstract:

28.

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 297 (84,316)

Abstract:

Cobweb model, rational beliefs, rational expectations

29.

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 275 (80,907)

Abstract:

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

30.

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 272 (89,056)

Abstract:

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

31.

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 266 (94,472)

Abstract:

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

32.

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 - Department of Economics and University of Manchester - Department of Economics
Downloads 264 (90,046)
Citation 1

Abstract:

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

33.

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 234 (108,365)
Citation 3

Abstract:

demand for money, portfolio theory, evolutionary finance

34.

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, Leeds University Business School and University of Manchester - Department of Economics
Downloads 225 (105,980)

Abstract:

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

35.

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 202 (120,532)
Citation 2

Abstract:

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

36.

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 195 (126,196)

Abstract:

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

37.

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 192 (129,790)
Citation 1

Abstract:

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

38.

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 170 (144,009)
Citation 10

Abstract:

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

39.

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 168 (146,314)
Citation 21

Abstract:

evolutionary finance, portfolio theory, incomplete markets

40.

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 162 (145,505)
Citation 2

Abstract:

von Neumann-Gale model, stochastic generalization, financial applications

41.

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 148 (63,608)

Abstract:

42.

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 - School of Mathematics, Statistics and Actuarial Science & Kent Centre for Finance
Downloads 143 (115,115)

Abstract:

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

43.

Parking: Unwanted Insights from Economics

Number of pages: 9 Posted: 08 May 2008
Klaus Reiner Schenk-Hoppé
University of Manchester - Department of Economics
Downloads 130 (178,412)

Abstract:

Parking

44.

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 99 (214,168)

Abstract:

Emerging market debt, yield spreads, Eurobonds, market risks

45.

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 93 (217,122)

Abstract:

Financial regulation, stock markets, transaction taxes

46.

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 89 (227,636)
Citation 2

Abstract:

Value Premium, Evolutionary Finance

47.

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 85 (235,716)
Citation 1

Abstract:

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

48.

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 - Department of Economics, Norwegian School of Economics (NHH) - Department of Finance, University of Leeds - School of Mathematics and University of Manchester - Department of Economics
Downloads 66 (253,360)

Abstract:

Skills, market fragmentation, volatility, market resilience

49.

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 63 (293,714)

Abstract:

Random dynamical systems, convex multivalued operators, von Neumann-Gale model, rapid paths, convex duality, stochastic equilibrium

50.

(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
Downloads 53 (316,626)

Abstract:

Two-sector endogenous growth model, technology shock, frictions, Runge-Kutta parallel-shooting algorithm.

51.

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
Downloads 52 (313,930)
Citation 2

Abstract:

C61, C62, O41

52.

'Managing Demand' for Peer Reviews

Number of pages: 10 Posted: 02 Apr 2009
Klaus Reiner Schenk-Hoppé
University of Manchester - Department of Economics
Downloads 51 (316,626)

Abstract:

Grant applications, peer review, costing, externality

53.

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
Downloads 11 (392,213)

Abstract:

Portfolio management, agent-based financial market, evolutionary finance, flow of funds

54.

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 0 (423,558)

Abstract:

Margin Trading; Short Selling; Brokers; Evolutionary Finance

55.

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 0 (159,240)

Abstract:

Front running; HFT; market quality

56.

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
Downloads 0 (524,718)

Abstract:

Hedging, transaction costs, closed-form approximations, genetic programming