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Type | Working Paper |
Scope | Discipline-based scholarship |
Title | Evolution of Portfolio Rules in Incomplete Markets |
Organization Unit | |
Authors |
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Language |
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Institution | University of Zurich |
Series Name | Working paper series / Institute for Empirical Research in Economics |
Number | No. 74 |
ISSN | 1424-0459 |
Date | 2001 |
Abstract Text | The paper considers the evolution of portfolio rules in markets with stationary returns and endogenous prices. The ultimate success of a portfolio rule is measured by the wealth share the rule is eventually able to conquer in competition with other portfolio rules. We give necessary and sufficient conditions for portfolio rules to be evolutionary stable. In the case of i.i.d. returns we identify a simple portfolio rule to be the unique evolutionary stable strategy. Moreover we demonstrate that mean-variance optimization is not evolutionary stable while the CAPM-rule always imitates the best portfolio rule and survives. |
Official URL | http://www.econ.uzh.ch/wp.html |
PDF File | Download from ZORA |
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