MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY

Igor Evstigneev, Thorsten Hens and Klaus Reiner Schenk‐Hoppé
Authors registered in the RePEc Author Service: Klaus Reiner Schenk-Hoppé

Mathematical Finance, 2002, vol. 12, issue 4, 329-339

Abstract: In this paper we analyze the long‐run dynamics of the market selection process among simple trading strategies in an incomplete asset market with endogenous prices. We identify a unique surviving financial trading strategy. Investors following this strategy asymptotically gather total market wealth. This result generalizes findings by Blume and Easlcy (1992) to any complete or incomplete asset market.

Date: 2002
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Citations: View citations in EconPapers (46)

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https://doi.org/10.1111/j.1467-9965.2002.tb00127.x

Related works:
Working Paper: Market Selection of Financial Trading Strategies: Global Stability
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Persistent link: https://EconPapers.repec.org/RePEc:bla:mathfi:v:12:y:2002:i:4:p:329-339

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