  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.
