Asset market games of survival: a synthesis of evolutionary and dynamic games
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
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Larry Blume & David Easley, 2001.
"If You're So Smart, Why Aren't You Rich? Belief Selection in Complete and Incomplete Markets,"
Cowles Foundation Discussion Papers
1319, Cowles Foundation for Research in Economics, Yale University.
- Lawrence Blume & David Easley, 2006. "If You're so Smart, why Aren't You Rich? Belief Selection in Complete and Incomplete Markets," Econometrica, Econometric Society, vol. 74(4), pages 929-966, 07.
- Lawrence Blume & David Easley, 2001. "If You're So Smart, Why Aren't You Rich? Belief Selection in Complete and Incomplete Markets," Working Papers 01-06-031, Santa Fe Institute.
- D. Fudenberg & C. Harris, 2010.
"Evolutionary Dynamics with Aggregate Shocks,"
Levine's Working Paper Archive
496, David K. Levine.
- Karni, Edi & Schmeidler, David, 1986. "Self-preservation as a foundation of rational behavior under risk," Journal of Economic Behavior & Organization, Elsevier, vol. 7(1), pages 71-81, March.
- Schwalbe, Ulrich & Walker, Paul, 2001. "Zermelo and the Early History of Game Theory," Games and Economic Behavior, Elsevier, vol. 34(1), pages 123-137, January.
- Emanuela Sciubba, 2005.
"Asymmetric information and survival in financial markets,"
Springer, vol. 25(2), pages 353-379, 02.
- Sciubba, E., 1999. "Asymmetric Information and Survival in Financial Markets," Cambridge Working Papers in Economics 9908, Faculty of Economics, University of Cambridge.
- AMIR, Rabah & EVSTIGNEEV, Igor & HENS, Thorsten & SCHENK-HOPPÉ, Klaus Reiner, 2003.
"Market selection and survival of investment strategies,"
CORE Discussion Papers
2003099, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Amir, Rabah & Evstigneev, Igor V. & Hens, Thorsten & Schenk-Hoppe, Klaus Reiner, 2005. "Market selection and survival of investment strategies," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 105-122, February.
- Rabah Amir & Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2002. "Market Selection and Survival of Investment Strategies," Discussion Papers 02-16, University of Copenhagen. Department of Economics.
- R Amir & I Evstigneev & T Hens & K R Schenk-Hoppé, 2002. "Market Selection and Survival of Investment Strategies," The School of Economics Discussion Paper Series 0215, Economics, The University of Manchester.
- Rabah Amir & Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, . "Market Selection and Survival of Investment Strategies," IEW - Working Papers 091, Institute for Empirical Research in Economics - University of Zurich.
- Shapley, Lloyd S & Shubik, Martin, 1977. "Trade Using One Commodity as a Means of Payment," Journal of Political Economy, University of Chicago Press, vol. 85(5), pages 937-68, October.
- Blume, Lawrence & Easley, David, 1992. "Evolution and market behavior," Journal of Economic Theory, Elsevier, vol. 58(1), pages 9-40, October.
- A. Cabrales, 2010.
"Stochastic Replicator Dynamics,"
Levine's Working Paper Archive
489, David K. Levine.
- Alvaro Sandroni, 2000. "Do Markets Favor Agents Able to Make Accurate Predicitions?," Econometrica, Econometric Society, vol. 68(6), pages 1303-1342, November.
- Robert J. Shiller, 2003.
"From Efficient Markets Theory to Behavioral Finance,"
Journal of Economic Perspectives,
American Economic Association, vol. 17(1), pages 83-104, Winter.
- Robert J. Shiller, 2002. "From Efficient Market Theory to Behavioral Finance," Cowles Foundation Discussion Papers 1385, Cowles Foundation for Research in Economics, Yale University.
- Tversky, Amos & Kahneman, Daniel, 1991. "Loss Aversion in Riskless Choice: A Reference-Dependent Model," The Quarterly Journal of Economics, MIT Press, vol. 106(4), pages 1039-61, November.
- Yuri Kifer, 2000. "Game options," Finance and Stochastics, Springer, vol. 4(4), pages 443-463.
- Shleifer, Andrei, 2000. "Inefficient Markets: An Introduction to Behavioral Finance," OUP Catalogue, Oxford University Press, number 9780198292272.
- Karl Borch, 1966. "A Utility Function Derived from a Survival Game," Management Science, INFORMS, vol. 12(8), pages B287-B295, April.
- Fabrizio Germano, 2007. "Stochastic Evolution of Rules for Playing Finite Normal Form Games," Theory and Decision, Springer, vol. 62(4), pages 311-333, May.
When requesting a correction, please mention this item's handle: RePEc:kap:annfin:v:9:y:2013:i:2:p:121-144. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.