Strategies of Survival in Dynamic Asset Market Games

28 Pages Posted: 8 Dec 2008

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

Le Xu

University of Manchester

Date Written: December 5, 2008

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.

Keywords: evolutionary finance, dynamic games, stochastic games, survival strategies

JEL Classification: C73, D52, G11

Suggested Citation

Amir, Rabah and Evstigneev, Igor V. and Xu, Le, Strategies of Survival in Dynamic Asset Market Games (December 5, 2008). Swiss Finance Institute Research Paper No. 08-41. Available at SSRN: https://ssrn.com/abstract=1311862 or http://dx.doi.org/10.2139/ssrn.1311862

Rabah Amir (Contact Author)

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

Le Xu

University of Manchester ( email )

Oxford Road
Manchester, M13 9PL
United Kingdom

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