Blar i Discussion papers (FOR) på forfatter "Schenk-Hoppé, Klaus Reiner"
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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 ... -
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 ... -
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. ... -
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. ...