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
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: Fondsmanager; Risikoanalyse; Wettbewerb
Keywords: risk preferences; competition; genetic programming; fund managers; portfolio theory
RVK Classification: QK 530   
Type: Workingpaper
Year of publication: 20. December 2013

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