Market selection and survival of investment strategies

Rabah AMIR, Igor EVSTIGNEEV, Thorsten HENS and SCHENK-HOPPƒ, Klaus Reiner

No 2003099, CORE Discussion Papers from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: The paper analyzes the process of market selection of investment strategies in an incomplete market of short-lived assets. In the model under study, asset payoffs depend on exogenous random factors. Market participants use dynamic investment strategies taking account of the available information about current and previous events. It is shown that an investor allocating wealth across the assets according to their conditional expected payoffs eventually accumulates total market wealth, provided the investor's strategy is asymptotically distinct from the portfolio rule suggested by the Capital Asset Pricing Model. This assumption turns out to be essentially necessary for the result.

Keywords: evolutionary Þnance; portfolio theory; CAPM; investment strategies; market selection; incomplete markets (search for similar items in EconPapers)
JEL-codes: D52 D81 D83 G11 (search for similar items in EconPapers)
Date: 2003-12-01
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Related works:
Working Paper: Market Selection and Survival of Investment Strategies (2002)
Working Paper: Market Selection and Survival of Investment Strategies (2002)
Working Paper: Market Selection and Survival of Investment Strategies
Journal Article: Market selection and survival of investment strategies (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:cor:louvco:2003099

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