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Asset Market Games of SurvivalRabah AmirUniversity of Arizona - Department of Economics; University of Arizona Igor V. EvstigneevUniversity of Manchester - Economics, School of Social Sciences Klaus Reiner Schenk-HoppéUniversity of Leeds - Leeds University Business School; University of Leeds - School of Mathematics February 14, 2009 EFA 2009 Bergen Meetings Paper Abstract: 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 survival working papers seriesDate posted: February 17, 2009Suggested CitationContact Information
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