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.

MoreLess

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

More details

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