Market Selection of Financial Trading Strategies: Global Stability

Igor V. Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hoppé ()

No iewwp083, IEW - Working Papers from Institute for Empirical Research in Economics - IEW

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 Easley (1992) to any complete or incomplete asset market.

Keywords: portfolio theory; evolutionary finance; 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-fmk
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