Evolutionary Finance and Dynamic Games

Rabah Amir (), Igor V. Evstigneev, Thorsten Hens and Le Xu
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Igor V. Evstigneev: University of Manchester
Thorsten Hens: University of Zurich and Swiss Finance Institute
Le Xu: University of Manchester

No 09-49, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: The paper examines a game-theoretic evolutionary model of an asset market with endogenous equilibrium asset prices. Assets pay dividends that are partially consumed and partially rein- vested. The investors use general, adaptive strategies (portfo- lio 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 wealth 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 (search for similar items in EconPapers)
JEL-codes: C73 D52 G11 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2009-12
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp0949

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