Market selection and survival of investment strategies

Rabah Amir, Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé

Research output: Contribution to journalArticlepeer-review


The paper analyzes the process of market selection of investment strategies in an incomplete market of short-lived assets. In the model under study, asset payoffs depend on exogenous random factors. Market participants use dynamic investment strategies taking account of the 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 (CAPM). This assumption turns out to be essentially necessary for the result. © 2004 Elsevier B.V. All rights reserved.
Original languageEnglish
Pages (from-to)105-122
Number of pages17
JournalJournal of Mathematical Economics
Issue number1-2
Publication statusPublished - Feb 2005


  • CAPM
  • Evolutionary finance
  • Incomplete markets
  • Investment strategies
  • Market selection
  • Portfolio theory


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