Publication: Evolutionary finance and dynamic games
Evolutionary finance and dynamic games
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Hens, T., Amir, R., Evstigneev, I. V., & Xu, L. (2011). Evolutionary finance and dynamic games. Mathematics and Financial Economics, 5, 161–184. https://doi.org/10.1007/s11579-011-0053-2
Abstract
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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 ofmark
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Creators (Authors)
- Amir, Rabah
- Evstigneev, I V
- Xu, Le
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Citations
Hens, T., Amir, R., Evstigneev, I. V., & Xu, L. (2011). Evolutionary finance and dynamic games. Mathematics and Financial Economics, 5, 161–184. https://doi.org/10.1007/s11579-011-0053-2
