Asset Market Games of Survival: A Synthesis of Evolutionary and Dynamic Games

34 Pages Posted: 27 Oct 2008 Last revised: 10 Jan 2011

See all articles by Rabah Amir

Rabah Amir

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 Manchester - Department of Economics; Norwegian School of Economics (NHH) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Date Written: August 1, 2010

Abstract

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.

Keywords: evolutionary finance, dynamic games, stochastic games, evolutionary game theory, games of survival.

JEL Classification: C73, D52, G11

Suggested Citation

Amir, Rabah and Evstigneev, Igor V. and Schenk-Hoppé, Klaus Reiner, Asset Market Games of Survival: A Synthesis of Evolutionary and Dynamic Games (August 1, 2010). Swiss Finance Institute Research Paper No. 08-31. Available at SSRN: https://ssrn.com/abstract=1288572 or http://dx.doi.org/10.2139/ssrn.1288572

Rabah Amir

University of Arizona - Department of Economics ( email )

Tucson, AZ 85721
United States

University of Arizona ( email )

Department of History
Tucson, AZ 85721
United States

Igor V. Evstigneev

University of Manchester - Economics, School of Social Sciences ( email )

Oxford Road
Manchester, M13 9PL
United Kingdom
+44 161 2754275 (Phone)
+44 161 2754812 (Fax)

HOME PAGE: http://www.evstigneev.net

Klaus Reiner Schenk-Hoppé (Contact Author)

University of Manchester - Department of Economics ( email )

Arthur Lewis Building
Oxford Road
Manchester, M13 9PL
United Kingdom

Norwegian School of Economics (NHH) - Department of Finance ( email )

Helleveien 30
N-5045 Bergen
Norway

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