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

Rabah Amir; Igor V. Evstigneev; Klaus Reiner Schenk-Hoppé

doi:10.1007/s10436-012-0210-5

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

Rabah Amir, Igor V. Evstigneev, Klaus Reiner Schenk-Hoppé

Economics

Research output: Contribution to journal › Article › peer-review

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. © 2012 Springer-Verlag Berlin Heidelberg.

Original language	English
Pages (from-to)	121-144
Number of pages	23
Journal	Annals of Finance
Volume	9
Issue number	2
DOIs	https://doi.org/10.1007/s10436-012-0210-5
Publication status	Published - 2013

Keywords

Dynamic games
Evolutionary finance
Evolutionary game theory
Games of survival
Stochastic games

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10.1007/s10436-012-0210-5

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title = "Asset market games of survival: A synthesis of evolutionary and dynamic games",

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. {\textcopyright} 2012 Springer-Verlag Berlin Heidelberg.",

keywords = "Dynamic games, Evolutionary finance, Evolutionary game theory, Games of survival, Stochastic games",

author = "Rabah Amir and Evstigneev, {Igor V.} and Schenk-Hopp{\'e}, {Klaus Reiner}",

year = "2013",

doi = "10.1007/s10436-012-0210-5",

language = "English",

volume = "9",

pages = "121--144",

journal = "Annals of Finance",

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T2 - A synthesis of evolutionary and dynamic games

AU - Amir, Rabah

AU - Evstigneev, Igor V.

AU - Schenk-Hoppé, Klaus Reiner

PY - 2013

Y1 - 2013

N2 - 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. © 2012 Springer-Verlag Berlin Heidelberg.

AB - 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. © 2012 Springer-Verlag Berlin Heidelberg.

KW - Dynamic games

KW - Evolutionary finance

KW - Evolutionary game theory

KW - Games of survival

KW - Stochastic games

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DO - 10.1007/s10436-012-0210-5

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SN - 1614-2446

VL - 9

SP - 121

EP - 144

JO - Annals of Finance

JF - Annals of Finance

IS - 2

ER -

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

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Keywords

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