کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9726634 | 1479286 | 2005 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Market selection and survival of investment strategies
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Market selection and survival of investment strategies Market selection and survival of investment strategies](/preview/png/9726634.png)
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Economics - Volume 41, Issues 1â2, February 2005, Pages 105-122
Journal: Journal of Mathematical Economics - Volume 41, Issues 1â2, February 2005, Pages 105-122
نویسندگان
Rabah Amir, Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé,