A Numerical Study on the Evolution of Portfolio Rules: Is CAPM Fit for   Nasdaq?
  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. 
G. Caldarelli (1), M. Piccioni (1) and E. Sciubba (2) ((1)INFM and Dip   Fisica,"La Sapienza" Rome, Italy, (2) Tinbergen Ins...