Performance of investment strategies in the absence of correct beliefs

Çisem Bektur ()

Decisions in Economics and Finance, 2013, vol. 36, issue 1, 23-37

Abstract: We study an evolutionary market model with long-lived assets. We show that in the absence of correct beliefs, the strategy which is “closer” to the Kelly rule cannot be driven out of the market. This means that this strategy will either dominate or at least survive. Our techniques are borrowed from the theory of random dynamical systems. Copyright Springer-Verlag 2013

Keywords: Evolutionary finance; Random dynamical systems; Kelly rule; C02; C73 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10203-012-0133-7

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