Evolutionary Portfolio Theory

Talk by Prof. Dr. Thorsten Hens

Date: 12.12.24  Time: 12.15 - 13.45  Room: Y27H12

Abstract. Evolutionary Portfolio Theory studies the repeated interaction of investment strategies in asset markets. The interaction gives rise to a random dynamical system. This paper – published in PNAS – entails the first evolutionary portfolio model with production: A finite number of investors allocate capital to a finite number of firms producing random cash flows. The cash flows are distributed to back to the investors, partially consumed and then reinvested in the next period. Based on a result from PAMS we prove that the random dynamical system has a unique evolutionary stable strategy.