Market selection of constant proportions investment strategies in continuous time

Jan Palczewski and Klaus Schenk-Hoppé

Journal of Mathematical Economics, 2010, vol. 46, issue 2, 248-266

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 finance and economics by drawing on evolutionary ideas.

Keywords: Evolutionary; finance; Wealth; dynamics; Endogenous; asset; prices; Random; dynamical; systems (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (6)

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Related works:
Working Paper: Market Selection of Constant Proportions Investment Strategies in Continuous Time (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:46:y:2010:i:2:p:248-266

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