Asset Market Games of Survival

The paper examines a game-theoretic model of a nancial market inwhich asset prices are determined endogenously in terms of short-runequilibrium. Investors use general, adaptive strategies depending onthe exogenous states of the world and the observed history of thegame. The main goal is to identify strategies, allowing an investor to"survive", i.e. to possess a positive, bounded away from zero, shareof market wealth over the innite time horizon.[...]

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Year of publication:	2009-09-01
Authors:	Amir, Rabah ; Evstigneev, Igor’ V. ; Schenk-Hoppé, Klaus R.
Subject:	Finanzierung \| finance \| Stochastisches Spiel \| Dynamisches Spiel \| advice

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1 Introduction2 The Model3 The Main Results4 Proofs of the main results5 Survival, optimality and Nash equilibriumReferences

Persistent link: https://www.econbiz.de/10005868841