Klaus Reiner Schenk-Hoppé

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7 We present a model of structural change due to non-linear Engel-curves for consumer 8 goods. Goods are sequentially introduced starting out as a luxury with high income 9 elasticity and ending up as a necessity with low income elasticity. Although this leads to 10 rising and falling sectoral employment shares, the model exhibits a steady growth path 11(More)
This paper presents an application of evolutionary portfolio theory to stocks listed in the Swiss Market Index (SMI). We study numerically the long-run outcome of the competition of rebalancing rules for market shares in a stock market with actual dividends taken from firms listed in the SMI. Returns are endogenous because prices are determined by supply(More)
The paper examines a dynamic model of a financial market with endogenous asset prices determined by short run equilibrium of supply and demand. Assets pay dividends, that are partially consumed and partially reinvested. The traders use fixed-mix investment strategies (portfolio rules), distributing their wealth between assets in fixed proportions. Our main(More)
This paper studies the performance of portfolio rules in incomplete markets for long-lived assets with endogenous prices. The dynamics of wealth shares in the process of repeated reinvestment of wealth is modelled as a random dynamical systems. The performance of a portfolio rule is determined by the wealth share eventually conquered in competition with(More)
This paper studies the role of strategy and the order book market mechanism in price dynamics and the order flow behaviour. To this end we analyse a zero-intelligence agent model of a dynamic limit order market. Stylised facts of limit order markets are shown to be influenced and, in some cases, governed by the market mechanism rather than strategic(More)
The paper analyzes the long-run performance of dynamic investment strategies based on fixed-mix portfolio rules. Such rules prescribe rebalancing the portfolio by transferring funds between its positions according to fixed (timeindependent) proportions. The focus is on asset markets where prices fluctuate as stationary stochastic processes. Under very(More)
We show that with the presence of network effects in the market for software products, some degree of software piracy can actually be beneficial to a monopoly software company. On the other hand, monopolistic competition can put an in-optimal downward pressure on the level of copy protection the firm can set. Collusion on higher levels of protection does(More)
This paper contributes to the micro-foundation of money in centralized markets with idiosyncratic uncertainty. It shows existence of stationary monetary equilibria and ensures that there is an optimum quantity of money. The rational solution of our model is compared with actual behavior in a laboratory experiment. The experiment gives support to the(More)