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Market Selection Of Financial Trading Strategies: Global Stability

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  • Igor V. Evstigneev
  • Thorsten Hens
  • Klaus Reiner Schenk-Hoppé

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. Copyright 2002 Blackwell Publishers.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9965.2002.tb00127.x
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Bibliographic Info

Article provided by Wiley Blackwell in its journal Mathematical Finance.

Volume (Year): 12 (2002)
Issue (Month): 4 ()
Pages: 329-339

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Handle: RePEc:bla:mathfi:v:12:y:2002:i:4:p:329-339

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  1. Blume, Lawrence & Easley, David, 1992. "Evolution and market behavior," Journal of Economic Theory, Elsevier, vol. 58(1), pages 9-40, October.
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