MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY |
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| Authors: | Igor V.,Evstigneev Thorsten,Hens Klaus Reiner, Schenk-Hoppé |
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| Affiliation: | School of Economic Studies, University of Manchester;Institute for Empirical Research in Economics, University of Zurich |
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| Abstract: | 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 Easlcy (1992) to any complete or incomplete asset market. |
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| Keywords: | portfolio theory evolutionary finance incomplete markets |
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