Market Selection and Survival of Investment Strategies

Rabah AMIR, Igor V. Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hoppé ()
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Igor V. Evstigneev: School of Economic Studies, University of Manchester
Thorsten Hens: Institute for Empirical Research in Economics, University of Zürich

No 02-16, Discussion Papers from University of Copenhagen. Department of Economics

Abstract: The paper analyzes the process of market selection of investment strategies in an incomplete market of short-lived assets. In the model understudy, asset payoffs depend on exogenous random factors. Market participants use dynamic investment strategies taking account of 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 finance; 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)
New Economics Papers: this item is included in nep-cfn, nep-fin, nep-fmk and nep-ind
Date: 2002-10
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Related works:
Working Paper: Market selection and survival of investment strategies (2003)
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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