Market Selection and Survival of Investment Strategies

Rabah Amir (), Igor Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hopp�
Authors registered in the RePEc Author Service: Klaus Reiner Schenk-Hoppé

No 91, IEW - Working Papers from Institute for Empirical Research in Economics - University of Zurich

Abstract: The paper analyzes the process of market selection of investment strategies in an incomplete asset market. The payoffs of the as-sets depend on random factors described in terms of a discrete-time Markov process. Market participants make dynamic investment de-cisions based on their observations and time. We show that a trader distributing wealth across available assets according to the relative expected returns eventually accumulates the entire market wealth. The result obtains under the assumption that the trader's strategy is asymptotically distinct from the CAPM strategy (prescribing in-vestment in the market portfolio). This assumption turns out to be essentially necessary for the conclusion.

Keywords: evolutionary finance; portfolio theory; investment strategies; CAPM; market selection; incomplete markets (search for similar items in EconPapers)
JEL-codes: D52 D81 D83 G11 (search for similar items in EconPapers)
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Citations: View citations in EconPapers (44)

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Related works:
Journal Article: Market selection and survival of investment strategies (2005)
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 (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:zur:iewwpx:091

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