Annals of Finance

, Volume 9, Issue 2, pp 121–144

Asset market games of survival: a synthesis of evolutionary and dynamic games

  • Rabah Amir
  • Igor V. Evstigneev
  • Klaus Reiner Schenk-Hoppé
Symposium

DOI: 10.1007/s10436-012-0210-5

Cite this article as:
Amir, R., Evstigneev, I.V. & Schenk-Hoppé, K.R. Ann Finance (2013) 9: 121. doi:10.1007/s10436-012-0210-5

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 

Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  • Rabah Amir
    • 1
  • Igor V. Evstigneev
    • 2
  • Klaus Reiner Schenk-Hoppé
    • 3
    • 4
  1. 1.Department of EconomicsUniversity of ArizonaTucsonUSA
  2. 2.Economics Department, School of Social SciencesUniversity of ManchesterManchesterUK
  3. 3.Leeds University Business School and School of MathematicsUniversity of LeedsLeedsUK
  4. 4.Department of Finance and Management ScienceNHH—Norwegian School of EconomicsBergenNorway

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