Market Selection of Financial Trading Strategies: Global Stability

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.

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Authors:	Evstigneev, Igor V. ; Hens, Thorsten ; Schenk-Hoppé, Klaus Reiner
Institutions:	Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät
Subject:	portfolio theory \| evolutionary finance \| incomplete markets

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Extent:	application/pdf
Series:	IEW - Working Papers. - ISSN 1424-0459.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series IEW-working papers Number 083
Classification:	D52 - Incomplete Markets ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; D83 - Search, Learning, Information and Knowledge ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005760921