TY  - CHAP
UR  - http://dx.doi.org/10.1007/978-1-4615-0835-9_18
TI  - A numerical study on the evolution of portfolio rules
PB  - Springer
ID  - eprints1193
N1  - 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 Universität Pompeu Fabra, Barcelona, Catalonia, Spain on July
6-8, 2000
Y1  - 2002///
AV  - none
N2  - 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.
A1  - Caldarelli, Guido
A1  - Piccioni, Marina
A1  - Sciubba, Emanuela
SP  - 379
T2  - Genetic algorithms and genetic programming in computational finance
EP  - 395
SN  - 978-1-4615-0835-9
KW  - Evolution; Portfolio Rules; CAPM; Kelly Criterion


ER  -