@incollection{eprints1193,
            year = {2002},
       booktitle = {Genetic algorithms and genetic programming in computational finance},
           title = {A numerical study on the evolution of portfolio rules},
           pages = {379--395},
          author = {Guido Caldarelli and Marina Piccioni and Emanuela Sciubba},
       publisher = {Springer},
            note = {Selection of papers presented at the 6th International
Conference of the Society for Computational Economics on Computing in Economics and Finance, which was held at Universit{\"a}t Pompeu Fabra, Barcelona, Catalonia, Spain on July
6-8, 2000},
        keywords = {Evolution; Portfolio Rules; CAPM; Kelly Criterion

},
             url = {http://eprints.imtlucca.it/1193/},
        abstract = {In this paper we test computationally the performance of CAPM in an evolutionary setting. In particular we study the stability of distribution of wealth in a financial market where some traders invest as prescribed by CAPM and others behave according to different portfolio rules. Our study is motivated by recent analytical results that show that, whenever a logarithmic utility maximiser enters the market, CAPM traders vanish in the long run. Our analysis provides further insights and extends these results. We simulate a sequence of trades in a financial market and: first, we address the issue of how long is the long run in different parametric settings; second, we study the effect of heterogeneous savings behaviour on asymptotic wealth shares. We find that CAPM is particularly ?unfit? for highly risky environments.}
}