Asset Market Games of Survival

Rabah AMIR, Igor V. EVSTIGNEEV and Klaus Reiner Schenk-Hoppé ()
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Igor V. EVSTIGNEEV: University of Manchester

No 08-31, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

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 in?nite time horizon. This work links recent studies on evolutionary ?nance 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. (search for similar items in EconPapers)
JEL-codes: C73 D52 G11 (search for similar items in EconPapers)

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Persistent link: http://EconPapers.repec.org/RePEc:chf:rpseri:rp0831

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