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Strategies of Survival in Dynamic Asset Market Games

Author

Listed:
  • Rabah AMIR

    (University of Arizona)

  • Igor V. EVSTIGNEEV

    (University of Manchester)

  • Le XU

    (University of Manchester)

Abstract

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.

Suggested Citation

  • Rabah AMIR & Igor V. EVSTIGNEEV & Le XU, "undated". "Strategies of Survival in Dynamic Asset Market Games," Swiss Finance Institute Research Paper Series 08-41, Swiss Finance Institute.
  • Handle: RePEc:chf:rpseri:rp0841
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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; survival strategies;

    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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