Related papers: Are target date funds dinosaurs? Failure to adapt …
Demographic changes increase the necessity to base the pension system more and more on the second and the third pillar, namely the occupational and private pension plans; this paper deals with Target Date Funds (TDFs), which are a typical…
Population genetics struggles to model extinction; standard models track the relative rather than absolute fitness of genotypes, while the exceptions describe only the short-term transition from imminent doom to evolutionary rescue. But…
Climate adaptation could yield significant benefits. However, the uncertainty of which future climate scenarios will occur decreases the feasibility of proactively adapting. Climate adaptation projects could be underwritten by benefits paid…
In this work, we consider rule-based investment strategies for managing a defined contribution saving scheme under the Dutch pension fund testing model. We found that dynamic rule-based investment can outperform traditional static…
In practice, the data distribution at test time often differs, to a smaller or larger extent, from that of the original training data. Consequentially, the so-called source classifier, trained on the available labelled data, deteriorates on…
We run experimental asset markets to investigate the emergence of excess trading and the occurrence of synchronised trading activity leading to crashes in the artificial markets. The market environment favours early investment in the risky…
We propose a data-driven Neural Network (NN) optimization framework to determine the optimal multi-period dynamic asset allocation strategy for outperforming a general stochastic target. We formulate the problem as an optimal stochastic…
The adaptation rate in theoretical models of biological evolution increases with the mutation rate but only to a point when mutations into lethal states cause extinction. One would expect that removing such states should be beneficial for…
We develop a comprehensive framework to measure the impact of the climate transition on investment portfolios. Our analysis is enriched by including geographical, sectoral, company and ISIN-level data to assess transition risk. We find that…
With the investment landscape becoming more competitive, efficiently scaling deal sourcing and improving deal insights have become a dominant strategy for funds. While funds are already spending significant efforts on these two tasks, they…
For the past two decades investors have observed long memory and highly correlated behavior of asset classes that does not fit into the framework of Modern Portfolio Theory. Custom correlation and standard deviation estimators consider…
Theory purports that animal foraging choices evolve to maximize returns, such as net energy intake. Empirical research in both human and nonhuman animals reveals that individuals often attend to the foraging choices of their competitors…
In a complex community, species continuously adapt to each other. On rare occasions, the adaptation of a species can lead to the extinction of others, and even its own. "Adaptive dynamics" is the standard mathematical framework to describe…
We consider a stochastic game-theoretic model of an investment market in continuous time with short-lived assets and study strategies, called survival, which guarantee that the relative wealth of an investor who uses such a strategy remains…
Complex adaptive systems have been the subject of much recent attention. It is by now well-established that members (`agents') tend to self-segregate into opposing groups characterized by extreme behavior. However, while different social…
The fitness of a biological strategy is typically measured by its expected reproductive rate, the first moment of its offspring distribution. However, strategies with high expected rates can also have high probabilities of extinction. A…
Self-adaptive parameters are increasingly used in the field of Evolutionary Robotics, as they allow key evolutionary rates to vary autonomously in a context-sensitive manner throughout the optimisation process. A significant limitation to…
The literature on evolutionary game theory suggests that pure strategies that are strictly dominated by other pure strategies always become extinct under imitative game dynamics, but they can survive under innovative dynamics. As we…
Models of adaptive bet-hedging commonly adopt insights from Kelly's famous work on optimal gambling strategies and the financial value of information. In particular, such models seek evolutionary solutions that maximize long term average…
We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk…