Title page for ETD etd-11102008-190358

Type of Document

Dissertation

Author

Mavroudis, Konstantinos

Author's Email Address

kmavroud@math.fsu.edu

URN

etd-11102008-190358

Title

Constant Proportions Portfolio Strategies In An Evolutionary Context Under A Dividend Factor Model

Degree

Doctor of Philosophy

Department

Mathematics, Department of

Advisory Committee

Advisor Name	Title
Craig A. Nolder	Committee Chair
Alec Kercheval	Committee Member
Bettye Anne Case	Committee Member
De Witt Sumners	Committee Member
Paul Beaumont	Committee Member
Don Schlagenhauf	Outside Committee Member

Keywords

Dividend Factor Model
Factor Analysis
Principal Components Analysis
Fixed-Mix Rules
Constant Proportions Strategies
Excess Volatility
Evolutionary Finance
Evolutionary Portfolio Theory

Date of Defense

2008-11-04

Availability

unrestricted

Abstract

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.

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