Market Selection and Survival of Investment Strategies

Topics:
Investment Strategy
Tags:
Asset,
Asset Management,
Business Operations,
Finance,
Investment,
Investment Strategy,
Operational Planning,
Payoff,
University Of Zurich
Source:
University of Zurich

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Overview: The paper analyzes the process of market selection of investment strategies in an incomplete market of short-lived assets. In the model understudy, asset payoffs depend on exogenous random factors. Market participants use dynamic investment strategies taking account of available information about current and previous events. It is shown that an investor allocating wealth across the assets according to their conditional expected payoffs eventually accumulates total market wealth, provided the investor's strategy is asymptotically distinct from the portfolio rule suggested by the Capital Asset Pricing Model.

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Format: PDF | Size: 308KB | Date: Oct 2001 | Pages: 23

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