• Costs and benefits of financial regulation: Short-selling bans and transaction taxes 

      Lensberg, Terje; Schenk-Hoppe, Klaus Reiner; Ladley, Dan (Journal article; Peer reviewed, 2015)
      We quantify the effects of financial regulation in an equilibrium model with delegated portfolio manage- ment. Fund managers trade stocks and bonds in an order-driven market, subject to transaction taxes and constraints ...
    • Costs and benefits of speculation 

      Lensberg, Terje; Schenk-Hoppé, Klaus Reiner; Ladley, Daniel (Discussion paper;2012:12, Working paper, 2012-10)
      We quantify the effects of financial regulation in an equilibrium model with delegated portfolio management. Fund managers trade stocks and bonds in an order-driven market, subject to transaction taxes and constraints ...
    • Fragmentation and stability of markets 

      Ladley, Daniel; Lensberg, Terje; Palczewski, Jan; Schenk-Hoppé, Klaus Reiner (Working paper;2013:7, Working paper, 2013-07)
      Trading skills are highly rewarded in practice but largely ignored in theoretical models of financial markets. This paper demonstrates the importance of skills by exploring their interaction with market fragmentation and ...
    • Hedging without sweat: a genetic programming approach 

      Lensberg, Terje; Schenk-Hoppé, Klaus Reiner (Journal article; Peer reviewed, 2013-06-26)
      Hedging in the presence of transaction costs leads to complex optimization problems. These problems typically lack closed-form solutions, and their implementation relies on numerical methods that provide hedging strategies ...
    • Hedging without sweat : a genetic programming approach 

      Lensberg, Terje; Schenk-Hoppé, Klaus Reiner (Working paper;2013:5, Working paper, 2013)
      Hedging in the presence of transaction costs leads to complex op- timization problems. These problems typically lack closed-form so- lutions, and their implementation relies on numerical methods that provide hedging ...
    • On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach 

      Lensberg, Terje; Schenk-Hoppé, Klaus Reiner (Discussion paper, Working paper, 2006-12)
      This paper complements theoretical studies on the Kelly rule in evolutionary finance by studying a Darwinian model of selection and reproduction in which the diversity of investment strategies is maintained through genetic ...
    • Social capital formation : some theory and experimental evidence 

      Heijden, Eline van der; Lensberg, Terje (Discussion paper, Working paper, 2003-01)
      We use a rule-based decision model to study social capital formation and economic performance, where the agents are sometimes motivated by norms and sometimes by pure self-interest. In this framework, the normative concepts ...
    • Stability, collective choice and separable welfare 

      Lensberg, Terje (Doctoral thesis, 1985)