Technique of Generation of Scenario for Simulation Within the Area Evolutionary Models (Szenariogenerierungstechnik fur Simulationen im Bereich Evolutionare Modelle)

Abstract

In this paper there's a simulation study on evolutionary finance models from Evstigneev/Hens/Schenk-Hoppe and applies the scenario generation algorithm from Hoyland/Kaut/Wallace with moment matching. Further it shows with different dividend models which investment strategies perform best under which assumptions. It shows that only diversified strategies are good.