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Title:Fund managers - why the best might be the worst: On the evolutionary vigor of risk-seeking behavior PDF Logo
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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