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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 Easley (1992) to any complete or incomplete asset market.

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Paper provided by Institute for Empirical Research in Economics - University of Zurich in its series IEW - Working Papers with number 083.

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Handle: RePEc:zur:iewwpx:083

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Keywords: portfolio theory; evolutionary finance; incomplete markets;

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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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