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Evolutionary finance and dynamic games


Hens, Thorsten; Amir, Rabah; Evstigneev, Igor; Xu, Le (2011). Evolutionary finance and dynamic games. Mathematics and Financial Economics, 5(3):161-184.

Abstract

The paper examines a game-theoretic evolutionary model of an asset marketwith endogenous equilibrium asset prices. Assets pay dividends that are partially consumed and partially reinvested. The investors use general, adaptive strategies (portfolio rules), distributing their wealth between assets, depending on the exogenous states of the world and the observed history of the game. The main objective of the work is to identify strategies, allowing an investor to “survive”, i.e. to possess a positive, bounded away from zero, share ofmarket 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.

Abstract

The paper examines a game-theoretic evolutionary model of an asset marketwith endogenous equilibrium asset prices. Assets pay dividends that are partially consumed and partially reinvested. The investors use general, adaptive strategies (portfolio rules), distributing their wealth between assets, depending on the exogenous states of the world and the observed history of the game. The main objective of the work is to identify strategies, allowing an investor to “survive”, i.e. to possess a positive, bounded away from zero, share ofmarket 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.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:2011
Deposited On:14 Mar 2012 11:58
Last Modified:05 Apr 2016 15:44
Publisher:Springer
ISSN:1862-9660
Publisher DOI:https://doi.org/10.1007/s11579-011-0053-2
Other Identification Number:merlin-id:6848

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