eprintid: 1193
rev_number: 16
eprint_status: archive
userid: 6
dir: disk0/00/00/11/93
datestamp: 2012-02-27 11:35:45
lastmod: 2014-06-26 11:17:43
status_changed: 2012-02-27 11:35:45
type: book_section
metadata_visibility: show
creators_name: Caldarelli, Guido
creators_name: Piccioni, Marina
creators_name: Sciubba, Emanuela
creators_id: guido.caldarelli@imtlucca.it
creators_id: 
creators_id: 
title: A numerical study on the evolution of portfolio rules
ispublished: pub
subjects: HG
subjects: QA
divisions: EIC
full_text_status: none
monograph_type: technical_report
pres_type: paper
keywords: Evolution; Portfolio Rules; CAPM; Kelly Criterion


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 Universität Pompeu Fabra, Barcelona, Catalonia, Spain on July
6-8, 2000
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.
date: 2002
date_type: submitted
publisher: Springer
pagerange: 379-395
event_title: 6th International Conference on "Computing in Economics and Finance"
event_location: Universitat Pompeu Fabra, Barcelona, Spain
event_dates: July 6-8, 2000
event_type: conference
id_number: 10.1007/978-1-4615-0835-9_18
institution: Society for Computational Economics
refereed: TRUE
isbn: 978-1-4615-0835-9
book_title: Genetic algorithms and genetic programming in computational finance
official_url: http://dx.doi.org/10.1007/978-1-4615-0835-9_18
related_url_url: http://EconPapers.repec.org/RePEc:sce:scecf0:334
citation:   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)