Evolutionary Finance and Dynamic Games

The paper examines a game-theoretic evolutionary model of anasset market with endogenous equilibrium asset prices. Assetspay dividends that are partially consumed and partially rein-vested. The investors use general, adaptive strategies (portfo-lio rules), distributing their wealth between assets, depending onthe exogenous states of the world and the observed history of thegame. The main goal is to identify strategies, allowing an investorto "survive" i.e. to possess a positive, bounded away from zero,share of market wealth over the whole innite time horizon.[...]

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Year of publication:	2009-11-01
Authors:	Amir, Rabah ; Evstigneev, Igor’ V. ; Hens, Thorsten ; Xu, Le
Institutions:	Swiss Finance Institute <Zürich>
Subject:	Finanzierung \| finance \| Stochastik \| Dynamisches Spiel \| advice

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1. INTRODUCTION
1.1. The focus of the study
1.2. Evolutionary nance
1.3. Evolutionary nance and game theory
2.1. Asset market
2.2. Investment strategies
2.3. Dynamic equilibrium
2.4. Comments on the model
3. THE MAIN RESULTS
3.1. The notion of survival
3.2. The Kelly rule
3.3. The Kelly rule is a survival strategy
3.4. Asymptotic uniqueness of the survival strategy
4. MATHEMATICAL ANALYSIS OF THE MODEL
4.1. Some auxiliary propositions
4.2. The plan of the proof of Theorem 1
4.3. Some inequalities and supermartingale properties
4.4. Proof of Theorem 1
APPENDIX
REFERENCES

Persistent link: https://www.econbiz.de/10009022139