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Strategies of Survival in Dynamic Asset Market Games


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  • Rabah AMIR

    (University of Arizona)


    (University of Manchester)

  • Le XU

    (University of Manchester)


The paper examines a game-theoretic evolutionary model of a financial market with endogenous equilibrium asset prices. Assets pay dividends that are partially consumed and partially reinvested. The traders use general, adaptive strategies (portfolio rules), distributing their wealth between assets, 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 over the whole infinite time horizon. This work brings together recent studies on evolutionary finance with the classical topic of non-cooperative market games.

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Bibliographic Info

Paper provided by Swiss Finance Institute in its series Swiss Finance Institute Research Paper Series with number 08-41.

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Length: 28 pages
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Handle: RePEc:chf:rpseri:rp0841

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Keywords: evolutionary finance; dynamic games; stochastic games; survival strategies;

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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.


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