Header

UZH-Logo

Maintenance Infos

Evolutionary Finance and Dynamic Games


Hens, Thorsten; Evstigneev, Igor V; Amir, Rabah; Xu, Le (2009). Evolutionary Finance and Dynamic Games. Swiss Finance Institute Research Paper 09-49, University of Zurich.

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 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 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.

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 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 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.

Statistics

Downloads

0 downloads since deposited on 05 May 2014
0 downloads since 12 months

Additional indexing

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:2009
Deposited On:05 May 2014 15:58
Last Modified:08 Dec 2017 05:14
Series Name:Swiss Finance Institute Research Paper
Free access at:Official URL. An embargo period may apply.
Official URL:http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1536724
Other Identification Number:merlin-id:6005

Download

Download PDF  'Evolutionary Finance and Dynamic Games'.
Preview
Filetype: PDF
Size: 332kB