Constant Proportions Portfolio Strategies in an Evolutionary Context under a Dividend Factor Model
In this dissertation we explore the impact of various constant-proportions investment strategies in an economic evolutionary market. Dividends are generated according to a new Dividend Factor Model. Furthermore, Dividends were estimated and calibrated from data using Principal Component Analysis and...
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| Format: | Others |
| Language: | English English |
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Florida State University
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| Online Access: | http://purl.flvc.org/fsu/fd/FSU_migr_etd-2654 |
| Summary: | In this dissertation we explore the impact of various constant-proportions investment strategies in an economic evolutionary market. Dividends are generated according to a new Dividend Factor Model. Furthermore, Dividends were estimated and calibrated from data using Principal Component Analysis and Factor Analysis. Moreover, we perform simulations to study the long-run outcome of an evolutionary competition with several well diversified constant-proportions strategies, among them some innovative strategies. We present and compare a variety of simulations with dividends being artificially generated according to the many different versions of our model. Our simulation results are important for both theoretical and practical reasons. In theoretical terms we have a model where, although the true rational strategy is the only probable dominant strategy, it is also possible for some "behavioral" rules to perform better under specific circumstances. In practical terms we suggest new constant-proportions strategies that could be superior for investors at least in the short run. === A Dissertation submitted to the Department of Mathematics in partial fulfillment of the requirements for the degree of
Doctor of Philosophy. === Fall Semester, 2008. === November 4, 2008. === Dividend Factor Model, Factor Analysis, Principal Components Analysis, Fixed-Mix Rules, Constant Proportions Strategies, Excess Volatility, Evolutionary Finance, Evolutionary Portfolio Theory === Includes bibliographical references. === Craig Nolder, Professor Directing Dissertation; Don Schlagenhauf, Outside Committee Member; Paul Beaumont, Committee Member; Bettye Anne Case, Committee Member; Alec Kercheval, Committee Member; De Witt Sumners, Committee Member. |
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