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- W1648072641 abstract "In this paper we test computationally the performance of CAPM in an evolutionary setting. In particular we study the stability of wealth distribution 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, traders who either ``believe'' in CAPM and use it as a rule of thumb for their portfolio decisions, or are endowed with genuine mean-variance preferences, 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." @default.
- W1648072641 created "2016-06-24" @default.
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- W1648072641 date "2000-09-28" @default.
- W1648072641 modified "2023-09-27" @default.
- W1648072641 title "A Numerical Study on the Evolution of Portfolio Rules: Is CAPM Fit for Nasdaq?" @default.
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