<北京大学数量经济与数理金融教育部重点实验室>学术报告—— Evolutionary Portfolio Theory
Abstract:
Evolutionary Portfolio Theory models financial markets as a dynamic interaction of investment strategies giving rise to a non-linear random dynamical system. It is shown that in this dynamical system a certain fundamental investment strategy has the highest growth rate of wealth, i.e. it is a survival strategy. Moreover, it is also the unique evolutionary stable strategy. Our result has been applied in a very successful investment fund that is ultra-stable, i.e. that survives market crashes well since it benefits from economic opportunities creates by crises.
Bio:
Thorsten Hens is Professor of Financial Economics at the University of Zurich, and the Vice Director of the Department of Banking and Finance. Hens is also affiliated with the CFA International Scientific Advisory Board, the Swiss Finance Institute Fellow, and the URPP-Regulation of Financial Markets Project Client Advice. Hens is a Founding Partner of the UZH spin-off firm Behavioural Finance Solutions, a President of the Pension Fund “Rentenfabrik”, and a Board Member of Pactum AG. His research interests include Evolutionary Finance, Behavioral Finance, Fintech, and Blockchain.
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