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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Year of publication:	2002
Authors:	Hens, Thorsten ; Evstigneev, Igor V. ; Schenk-Hoppé, Klaus Reiner
Institutions:	Institut für Schweizerisches Bankwesen <Zürich> ; National Centre of Competence in Research North South <Bern>
Subject:	Portfoliomanagement \| portfolio management \| Langfristige Analyse \| Unvollkommener Kapitalmarkt

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Extent:	756736 bytes 17 p. application/pdf
Series:	Universität Zürich - Institut für Schweizerisches Bankwesen - Working Papers Working Paper ; No. 11 (2002)
Type of publication:	Book / Working Paper
Language:	English
Classification:	D52 - Incomplete Markets ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; D83 - Search, Learning, Information and Knowledge ; G11 - Portfolio Choice ; Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005859367