Market selection of financial trading strategies:: Global stability

被引：33
作者：
Evstigneev, IV
Hens, T
Schenk-Hoppé, R
机构：
[1] Univ Manchester, Sch Econ Studies, Manchester M13 9PL, Lancs, England
[2] Univ Zurich, Inst Empir Res Econ, CH-8006 Zurich, Switzerland
来源：
MATHEMATICAL FINANCE | 2002年 / 12卷 / 04期
关键词：
portfolio theory; evolutionary finance; incomplete markets;
D O I：
10.1111/j.1467-9965.2002.tb00127.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：329 / 339
页数：11
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