Asset Market Games of Survival

15 Pages Posted: 17 Feb 2009

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: February 14, 2009

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

Suggested Citation

Amir, Rabah and Evstigneev, Igor V. and Schenk-Hoppé, Klaus Reiner, Asset Market Games of Survival (February 14, 2009). EFA 2009 Bergen Meetings Paper. Available at SSRN: https://ssrn.com/abstract=1343351 or http://dx.doi.org/10.2139/ssrn.1343351

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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