Fixed-Mix Rules in an Evolutionary Market Using a Factor Model for Dividends

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Shadi Givi, Maryam | 2014

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 45735 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Zamani, Shiva
Abstract:
In this thesis, we simulate the competition between some investment strategies based on dividends with each other and with mean-variance strategy (Markowitz) in an evolutionary finance framework. We perform simulations by two different approaches. In the first one, we use real dividend data and, in the second one we use dividends that are generated according to a dividend factor model. The dividend factor model which relates the dividends to the macro-economic factors is estimated from data using principal component analysis. Our simulations show that in this competition, the evolutionary portfolio rule will eventually hold the total market wealth. According to this simple rule the portfolio weights should be proportional to the expected relative dividends of assets
Keywords:
Principal Component Analysis (PCA) ; Evolutionary Portfolio Theory ; Divided Factor Model ; Constant-Proportions Strategies

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