Market Selection of Constant Proportions InvestmentStrategies in Continuous Time

This paper studies the wealth dynamics of investors holding self-nancing portfolios in a continuous-time model of a nancial market.Asset prices are endogenously determined by market clearing. Wederive results on the asymptotic dynamics of the wealth distributionand asset prices for constant proportions investment strategies.[...]

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Year of publication:	2008-09-19
Authors:	Palczewski, Jan ; Schenk-Hoppé, Klaus R.
Institutions:	Finrisk
Subject:	Finanzierung \| finance \| Aktienkurs \| Zufall \| Soziale Wohlfahrt

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Table of Contents
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1 Introduction
2 The Model
3 Selection Dynamics
4 Markovian Dividend Intensities
5 Conclusion
Appendix
References

Persistent link: https://www.econbiz.de/10005868915