relation: http://eprints.imtlucca.it/1193/
title: A numerical study on the evolution of portfolio rules
creator: Caldarelli, Guido
creator: Piccioni, Marina
creator: Sciubba, Emanuela
subject: HG Finance
subject: QA Mathematics
description: 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.
publisher: Springer
date: 2002
type: Book Section
type: PeerReviewed
identifier:   Caldarelli, Guido and Piccioni, Marina and Sciubba, Emanuela  A numerical study on the evolution of portfolio rules.   In:  Genetic algorithms and genetic programming in computational finance.   Springer, pp. 379-395.  ISBN 978-1-4615-0835-9      (2002)  
relation: http://dx.doi.org/10.1007/978-1-4615-0835-9_18
relation: 10.1007/978-1-4615-0835-9_18