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Otto-Friedrich-Universität Bamberg >
Bamberg Economic Research Group, Universität Bamberg >
BERG Working Paper Series, Universität Bamberg >
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http://hdl.handle.net/10419/50318
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| Title: | | Fund managers - why the best might be the worst: On the evolutionary vigor of risk-seeking behavior  |
| Authors: | | Witte, Björn-Christopher |
| Issue Date: | | 2011 |
| Series/Report no.: | | BERG working paper series on government and growth 81 |
| 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. |
| Subjects: | | risk preferences competition genetic programming fund managers portfolio theory |
| JEL: | | C73 D81 G11 G24 |
| ISBN: | | 978-3-931052-91-1 |
| Document Type: | | Working Paper |
| Appears in Collections: | | BERG Working Paper Series, Universität Bamberg
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