Hens, Thorsten; Evstigneev, Igor V.; Schenk-Hoppé, … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
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...