An Evolutionary Portfolio Theory
Working Paper No. 74
27 Pages Posted: 21 Jun 2001
Date Written: May 2001
The purpose of this paper is to suggest a new theory of portfolio selection which is based on evolutionary reasoning in simple repeated market situations. According to this new point of view the ultimate success of a portfolio strategy is measured by the wealth share the strategy is eventually able to conquer in an evolutionary process of market selection. We identify a simple portfolio strategy as being the unique evolutionary stable strategy.
Keywords: Portfolio theory, evolutionary finance, incomplete markets
JEL Classification: D52, D81, D83, G11
Suggested Citation: Suggested Citation