2004, 1999, English, Article, Working paper edition: The Evolution of Portfolio Rules and the Capital Asset Pricing Model Sciubba, Emanuela

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Physical Description
  • 1118835 bytes, application/​pdf
  • Working Paper
Published
  • 2004-06-16T16:05:51Z
  • 1999-06
Language
  • English

Edition details

Title
  • The Evolution of Portfolio Rules and the Capital Asset Pricing Model
Author
  • Sciubba, Emanuela
Published
  • 2004-06-16T16:05:51Z
  • 1999-06
Physical Description
  • 1118835 bytes, application/​pdf
  • Working Paper
Subjects
Notes
  • The 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.
Language
  • English
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