Asset Market Games of Survival
University of Arizona - Department of Economics; University of Arizona
Igor V. Evstigneev
University of Manchester - Economics, School of Social Sciences
Klaus Reiner Schenk-Hoppé
University of Leeds - Leeds University Business School; University of Leeds - School of Mathematics
February 14, 2009
EFA 2009 Bergen Meetings Paper
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 infinite time horizon. This work links recent studies on evolutionary finance to the classical topic of games of survival pioneered by Milnor and Shapley in the 1950s.
Keywords: evolutionary finance, dynamic games, stochastic games, games of survivalworking papers series
Date posted: February 17, 2009
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