Asset Market Games of Survival

Rabah Amir, Igor Evstigneev and Klaus Schenk-Hoppé

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)
Pages: 15 pages
Date: 2008-10
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1288572 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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

Access Statistics for this paper

More papers in Swiss Finance Institute Research Paper Series from Swiss Finance Institute Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().