• 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 ...
    • Pricing Implications of Shared Variance in Liquidity Measures 

      Chollete, Lorán; Næs, Randi; Skjeltorp, Johannes A. (Discussion paper, Working paper, 2006-07)
      This paper constructs fundamental liquidity measures and investigates the pricing implications of shared variation in a large set of high frequency liquidity measures. Through a common factor analysis we estimate three ...
    • The risk components of liquidity 

      Chollete, Lorán; Næs, Randi; Skjeltorp, Johannes A. (Discussion paper, Working paper, 2008-03)
      Does liquidity risk differ depending on our choice of liquidity proxy? Unlike literature that considers common liquidity variation, we focus on identifying different components of liquidity, statistically and economically, ...