Zobrazeno 1 - 10
of 38
pro vyhledávání: '"Terje Lensberg"'
Publikováno v:
Journal of Economic Behavior & Organization. 185:419-441
We study one-shot play in the set of all bimatrix games by a large population of agents. The agents never see the same game twice, but they can learn ‘across games’ by developing solution concepts that tell them how to play new games. Each agent
Publikováno v:
International Review of Finance. 18:727-741
We study front-running by high-frequency traders (HFTs) in a limit order model with continuous trading. The model describes an evolutionary equilibrium of low-frequency traders who compete in portfolio management services by offering investment style
Publikováno v:
SSRN Electronic Journal.
We study one-shot play in the set of all bimatrix games by a large population of agents. The agents never see the same game twice, but they can learn `across games' by developing solution concepts that tell them how to play new games. Each agent's in
Publikováno v:
Journal of Evolutionary Economics, 21 (5)
Journal of Evolutionary Economics, 21 (5)
ISSN:1432-1386
ISSN:0936-9937
ISSN:1432-1386
ISSN:0936-9937
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6d76c215a8c33b3aafe3711e97a30518
http://doc.rero.ch/record/321465/files/191_2010_Article_213.pdf
http://doc.rero.ch/record/321465/files/191_2010_Article_213.pdf
Publikováno v:
SSRN Electronic Journal.
We study front-running by high frequency traders (HFTs) in a limit order model with continuous trading. The model describes an evolutionary equilibrium of low frequency traders (LFTs) who compete in portfolio management services by offering investmen
Publikováno v:
Review of Finance. 11:25-50
This paper complements theoretical studies on the Kelly rule in evolutionary finance by studying a Darwinian model of selection and reproduction in which the diversity of investment strategies is maintained through genetic programming. We find that i
Publikováno v:
Journal of Banking & Finance
Copyright © 2014 The Authors. Published by Elsevier We quantify the effects of financial regulation in an equilibrium model with delegated portfolio manage- ment. Fund managers trade stocks and bonds in an order-driven market, subject to transaction
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::705bc2b8f7124ae817352454e324383a
http://hdl.handle.net/11250/275000
http://hdl.handle.net/11250/275000
Publikováno v:
European Journal of Operational Research. 169:677-697
Bankruptcy is a highly significant worldwide problem with high social costs. Traditional bankruptcy risk models have been criticized for falling short with respect to bankruptcy theory building due to either modeling assumptions or model complexity.
Autor:
Terje Lensberg, Thomas E. McKee
Publikováno v:
European Journal of Operational Research. 138:436-451
The high social costs associated with bankruptcy have spurred searches for better theoretical understanding and prediction capability. In this paper, we investigate a hybrid approach to bankruptcy prediction, using a genetic programming algorithm to
Autor:
Thore Johnsen, Terje Lensberg
Publikováno v:
SSRN Electronic Journal.
We use a CAPM model to estimate the cost of collecting wealth taxes from private Norwegian owners. The cost consists of foregone investment opportunities due to higher required returns on equity. For listed firms, the cost is zero. For non-listed fir