Journal article
Asset market games of survival: a synthesis of evolutionary and dynamic games
Annals of finance, Vol.9(2), pp.121-144
05/01/2013
DOI: 10.1007/s10436-012-0210-5
Abstract
The paper examines a game- theoretic model of a financial market in which asset prices are determined endogenously in terms of a short-run equilibrium. Investors use general, adaptive strategies (portfolio rules) depending on the exogenous states of the world and the observed history of the game. The main goal is to identify portfolio rules, allowing an investor to "survive," i.e., to possess a positive, bounded away from zero, share of market wealth over an infinite time horizon. The model under consideration combines a strategic framework characteristic for stochastic dynamic games with an evolutionary solution concept (survival strategies), thereby linking two fundamental paradigms of game theory.
Details
- Title: Subtitle
- Asset market games of survival: a synthesis of evolutionary and dynamic games
- Creators
- Rabah Amir - University of ArizonaIgor V. Evstigneev - University of ManchesterKlaus Reiner Schenk-Hoppe - Norwegian School of Economics
- Resource Type
- Journal article
- Publication Details
- Annals of finance, Vol.9(2), pp.121-144
- Publisher
- Springer Nature
- DOI
- 10.1007/s10436-012-0210-5
- ISSN
- 1614-2446
- eISSN
- 1614-2454
- Number of pages
- 24
- Grant note
- Swiss National Center of Competence in Research; Swiss National Science Foundation (SNSF) PIEF-GA-2010-274454 / European Commission under the Marie Curie Intra-European Fellowship Programme; European Commission Finance Market Fund, Norway
- Language
- English
- Date published
- 05/01/2013
- Academic Unit
- Economics
- Record Identifier
- 9984380427202771
Metrics
3 Record Views