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Asset Market Games of Survival

Author

Listed:
  • Rabah AMIR

    (University of Arizona)

  • Igor V. EVSTIGNEEV

    (University of Manchester)

  • Klaus Reiner SCHENK-HOPPE

    (University of Leeds)

Abstract

The paper examines a game-theoretic model of a financial market in which asset prices are determined endogenously in terms of short-run equilibrium. Investors use general, adaptive strategies depending on the exogenous states of the world and the observed history of the game. The main goal is to identify strategies, allowing an investor to "survive," i.e. to possess a positive, bounded away from zero, share of market wealth over the in?nite time horizon. This work links recent studies on evolutionary ?nance to the classical topic of games of survival pioneered by Milnor and Shapley in the 1950s.

Suggested Citation

  • Rabah AMIR & Igor V. EVSTIGNEEV & Klaus Reiner SCHENK-HOPPE, 2008. "Asset Market Games of Survival," Swiss Finance Institute Research Paper Series 08-31, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp0831
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    File URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1288572
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    Citations

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    Cited by:

    1. Anufriev, Mikhail & Bottazzi, Giulio, 2010. "Market equilibria under procedural rationality," Journal of Mathematical Economics, Elsevier, vol. 46(6), pages 1140-1172, November.

    More about this item

    Keywords

    evolutionary finance; dynamic games; stochastic games; games of survival.;
    All these keywords.

    JEL classification:

    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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