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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Evolutionary finance and dynamic games |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Mathematics and Financial Economics |
| Publisher | Springer |
| Geographical Reach | international |
| ISSN | 1862-9660 |
| Volume | 5 |
| Number | 3 |
| Page Range | 161 - 184 |
| Date | 2011 |
| Date Annual Report | 2011 |
| Abstract Text | 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. |
| Digital Object Identifier | 10.1007/s11579-011-0053-2 |
| Other Identification Number | merlin-id:6848 |
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