An Evolutionary Portfolio Theory

Hens, Thorsten; Schenk-Hoppé, Klaus Reiner

doi:10.2139/ssrn.274581

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An Evolutionary Portfolio Theory

Working Paper No. 74

27 Pages Posted: 21 Jun 2001

See all articles by Thorsten Hens

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

The University of Manchester - Department of Economics

Date Written: May 2001

Abstract

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

Hens, Thorsten and Schenk-Hoppé, Klaus Reiner, An Evolutionary Portfolio Theory (May 2001). Working Paper No. 74, Available at SSRN: https://ssrn.com/abstract=274581 or http://dx.doi.org/10.2139/ssrn.274581