Fund Managers - Why the Best Might be the Worst : On the Evolutionary Vigor of Risk-Seeking Behavior
Faculty/Professorship: | Wissenschaftliches Institut für Hochschulsoftware der Universität Bamberg (ihb) |
Author(s): | Witte, Björn-Christopher |
Other Contributing Persons: | Stübben, Felix |
Corporate Body: | BERG (Bamberg Economic Research Group) |
Publisher Information: | Bamberg : opus |
Year of publication: | 2013 |
Pages: | 39 |
ISBN: | 978-3-931052-91-1 |
Series ; Volume: | BERG working paper series ; 81 |
Source/Other editions: | zuerst erschienen im BERG-Verlag, 2011 |
Year of first publication: | 2011 |
Language(s): | English |
Licence: | German Act on Copyright |
URN: | urn:nbn:de:bvb:473-opus4-31887 |
Abstract: | This article explores the influence of competitive conditions on the evolutionary fitness of different risk preferences. As a practical example, the professional competition between fund managers is considered. To explore how different settings of competition parameters, the exclusion rate and the exclusion interval, affect individual investment behavior, an evolutionary model based on a genetic algorithm is developed. The simulation experiments indicate that the influence of competitve conditions on investment behavior and attitudes towards risk is significant. What is alarming is that intense competitive pressure generates riskseeking behavior and undermines the predominance of the most skilled. |
GND Keywords: | Fondmanager ; Risikoanalyse ; Wettbewerb ; Online-Publikation |
Keywords: | risk preferences; competition; genetic programming; fund managers; portfolio theory |
RVK Classification: | QK 530 |
Type: | Workingpaper |
URI: | https://fis.uni-bamberg.de/handle/uniba/1420 |
Year of publication: | 20. December 2013 |
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BERG81_WittekseA2.pdf | 717.59 kB | View/Open |

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University of Bamberg