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Asset market games of survival: a synthesis of evolutionary and dynamic games

  • Rabah Amir

    ()

  • Igor Evstigneev

    ()

  • Klaus Schenk-Hoppé

    ()

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. Copyright Springer-Verlag Berlin Heidelberg 2013

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File URL: http://hdl.handle.net/10.1007/s10436-012-0210-5
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Article provided by Springer in its journal Annals of Finance.

Volume (Year): 9 (2013)
Issue (Month): 2 (May)
Pages: 121-144

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Handle: RePEc:kap:annfin:v:9:y:2013:i:2:p:121-144
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  1. Fuhito Kojima, 2006. "Stability and instability of the unbeatable strategy in dynamic processes," International Journal of Economic Theory, The International Society for Economic Theory, vol. 2(1), pages 41-53.
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