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Market Selection of Constant Proportions Investment Strategies in Continuous Time

Author

Listed:
  • Jan PALCZEWSKI

    (University of Leeds and University of Warsaw)

  • Klaus Reiner SCHENK-HOPPE

    (University of Leeds)

Abstract

This paper studies the wealth dynamics of investors holding self-financing portfolios in a continuous-time model of a financial market. Asset prices are endogenously determined by market clearing. We derive results on the asymptotic dynamics of the wealth distribution and asset prices for constant proportions investment strategies. This study is the first step towards a theory of continuous-time asset pricing that combines concepts from mathematical nance and economics by drawing on evolutionary ideas.

Suggested Citation

  • Jan PALCZEWSKI & Klaus Reiner SCHENK-HOPPE, 2008. "Market Selection of Constant Proportions Investment Strategies in Continuous Time," Swiss Finance Institute Research Paper Series 08-29, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp0829
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    Cited by:

    1. Guillaume Coqueret & Bertrand Tavin, 2019. "Procedural rationality, asset heterogeneity and market selection," Post-Print hal-02312310, HAL.
    2. Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2008. "Evolutionary Finance," Swiss Finance Institute Research Paper Series 08-14, Swiss Finance Institute.
    3. Palczewski, Jan & Schenk-Hoppé, Klaus Reiner, 2010. "From discrete to continuous time evolutionary finance models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 913-931, May.
    4. Thomas Holtfort, 2019. "From standard to evolutionary finance: a literature survey," Management Review Quarterly, Springer, vol. 69(2), pages 207-232, June.
    5. Mikhail Zhitlukhin, 2018. "Survival investment strategies in a continuous-time market model with competition," Papers 1811.12491, arXiv.org, revised Sep 2019.
    6. Coqueret, Guillaume & Tavin, Bertrand, 2019. "Procedural rationality, asset heterogeneity and market selection," Journal of Mathematical Economics, Elsevier, vol. 82(C), pages 125-149.
    7. Mikhail Zhitlukhin, 2020. "A continuous-time asset market game with short-lived assets," Papers 2008.13230, arXiv.org.

    More about this item

    Keywords

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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