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The Evolution of Portfolio Rules and the Capital Asset Pricing Model

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dc.contributor.authorSciubba, Emanuela
dc.date.accessioned2004-06-16T16:05:51Z
dc.date.available2004-06-16T16:05:51Z
dc.date.created1999-06en_GB
dc.date.issued2004-06-16T16:05:51Z
dc.description.abstractThe aim of this paper is to test the performance of the standard version of CAPM in an evolutionary framework. We imagine a heterogeneous population of long-lived agents who invest their wealth according to differential porfolio rules and ask what is the fate of those who happen to behave as prescribed by CAPM. In a complete securities market with aggregate uncertainty, it is shown that traders who either believe' in CAPM and use it as a rule of thumb, or are endowed with genuine mean-variance preferences, under some very weak conditions, vanish in the long run. A sufficient condition to drive CAPM or mean-variance traders' wealth shares to zero is shown to be that an investor endowed with a logarithmic utility function enters the market. Finally, the robustness of the results is checked, allowing for different kinds of heterogeneity among traders.
dc.format.extent1118835 bytes
dc.format.mimetypeapplication/pdfen_GB
dc.format.mimetypeapplication/pdf
dc.identifier.doi10.17863/CAM.5364
dc.identifier.urihttp://www.dspace.cam.ac.uk/handle/1810/420
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/420
dc.language.isoeng
dc.publisherFaculty of Economics
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.rightsAll Rights Reserved
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/
dc.subject.classificationClassification-JEL: C61, D81, G11
dc.subject.otherEvolution, Portfolio rules, CAPM, Kelly criterion
dc.titleThe Evolution of Portfolio Rules and the Capital Asset Pricing Model
dc.typeWorking Paper
rioxxterms.versionAO

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