• 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 ...
    • Dynamic portfolio optimization with transaction costs and state-dependent drift 

      Palczewski, Jan; Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner; Wang, Huamao (Working paper;2014:1, Working paper, 2014)
      We present an efficient numerical method to determine optimal portfolio strategies under time- and state-dependent drift and proportional transaction costs. This scenario arises when investors have behavioral biases or ...
    • Evolutionary stable investment in stock markets 

      Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, Klaus Reiner (Discussion paper, Working paper, 2003-10)
      This paper studies the performance of portfolio rules in incomplete markets for long-lived assets with endogenous prices. The dynamics of wealth shares in the process of repeated reinvestment of wealth is modelled as a ...
    • 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 ...
    • Globally evolutionarily stable portfolio rules 

      Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, Klaus Reiner (Discussion paper, Working paper, 2005-09)
      The paper examines a dynamic model of a financial market with endogenous asset prices determined by short run equilibrium of supply and demand. Assets pay dividends, that are partially consumed and partially reinvested. ...
    • 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 ...
    • Markets do not select for a liquidity preference as behavior towards risk 

      Hens, Thorsten; Schenk-Hoppé, Klaus Reiner (Discussion paper, Working paper, 2003-10)
      Tobin (1958) has argued that in the face of potential capital losses on bonds it is reasonable to hold cash as a means to transfer wealth over time. It is shown that this assertion cannot be sustained taking into account ...
    • 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 ...
    • On the micro-foundations of money : the Capitol Hill baby-sitting co-op 

      Hens, Thorsten; Schenk-Hoppé, Klaus Reiner; Vogt, Bodo (Discussion paper, Working paper, 2003-10)
      This paper contributes to the micro-foundation of money in centralized markets with idiosyncratic uncertainty. It shows existence of stationary monetary equilibria and ensures that there is an optimum quantity of money. ...