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Constant Proportions Portfolio Strategies in an Evolutionary Context under a Dividend Factor Model

Title: Constant Proportions Portfolio Strategies in an Evolutionary Context under a Dividend Factor Model.
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Name(s): Mavroudis, Konstantinos, author
Nolder, Craig, professor directing dissertation
Schlagenhauf, Don, outside committee member
Beaumont, Paul, committee member
Case, Bettye Anne, committee member
Kercheval, Alec, committee member
Sumners, De Witt, committee member
Department of Mathematics, degree granting department
Florida State University, degree granting institution
Type of Resource: text
Genre: Text
Issuance: monographic
Date Issued: 2008
Publisher: Florida State University
Place of Publication: Tallahassee, Florida
Physical Form: computer
online resource
Extent: 1 online resource
Language(s): English
Abstract/Description: 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.
Identifier: FSU_migr_etd-2654 (IID)
Submitted Note: A Dissertation submitted to the Department of Mathematics in partial fulfillment of the requirements for the degree of Doctor of Philosophy.
Degree Awarded: Fall Semester, 2008.
Date of Defense: November 4, 2008.
Keywords: Dividend Factor Model, Factor Analysis, Principal Components Analysis, Fixed-Mix Rules, Constant Proportions Strategies, Excess Volatility, Evolutionary Finance, Evolutionary Portfolio Theory
Bibliography Note: Includes bibliographical references.
Advisory Committee: 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.
Subject(s): Mathematics
Persistent Link to This Record: http://purl.flvc.org/fsu/fd/FSU_migr_etd-2654
Owner Institution: FSU

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Mavroudis, K. (2008). Constant Proportions Portfolio Strategies in an Evolutionary Context under a Dividend Factor Model. Retrieved from http://purl.flvc.org/fsu/fd/FSU_migr_etd-2654