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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | An application of evolutionary finance to firms listed in the Swiss Market Index |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Swiss Journal of Economics and Statistics = Schweizerische Zeitschrift für Volkswirtschaft und Statistik |
| Publisher | Peter Lang |
| Geographical Reach | international |
| ISSN | 0303-9692 |
| Volume | 138 |
| Number | 4 |
| Page Range | 465 - 487 |
| Date | 2002 |
| Abstract Text | This paper presents an application of evolutionary portfolio theory to stocks listed in the Swiss Market Index (SMI). We study numerically the long-run outcome of the competition of rebalancing rules for market shares in a stock market with actual dividends taken from firms listed in the SMI. Returns are endogenous because prices are determined by supply and demand stemming from the rebalancing rules. Our simulations show that in competition with rebalancing rules derived from Mean-Variance Optimization, Maximum Growth Theory and Behavioral Finance, the evolutionary portfolio rule discovered in Hens and Schenk-Hoppe (2001) will eventually hold total market wealth. According to this simple rule the portfolio weights should be proportional to the expected relative dividends of the assets. |
| Free access at | DOI |
| Related URLs |
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| Other Identification Number | merlin-id:19951 |
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