Market Selection of Constant Proportions Investment Strategies in Continuous Time

Jan PALCZEWSKI and Klaus Reiner Schenk-Hoppé ()
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Jan PALCZEWSKI: University of Leeds and University of Warsaw

No 08-29, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: This paper studies the wealth dynamics of investors holding self-financing portfolios in a continuous-time model of a financial market. Asset prices are endogenously determined by market clearing. We derive results on the asymptotic dynamics of the wealth distribution and asset prices for constant proportions investment strategies. This study is the first step towards a theory of continuous-time asset pricing that combines concepts from mathematical nance and economics by drawing on evolutionary ideas.

Keywords: evolutionary finance; wealth dynamics; endogenous asset prices; random dynamical systems. (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2008-09

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Persistent link: http://EconPapers.repec.org/RePEc:chf:rpseri:rp0829

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