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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Extent:	300032 bytes 30 p. application/pdf
Series:	FINRISK Working Paper Series Working Paper ; No. 500 (2008)
Type of publication:	Book / Working Paper
Language:	English
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; Financial theory ; Capital budgeting, budgetary planning and budgetary control ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

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