Nash Equilibrium Strategies and Survival Portfolio Rules in Evolutionary Models of Asset Markets
Sergei Belkov,
Igor V. Evstigneev and
Thorsten Hens
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Igor V. Evstigneev: University of Manchester
Thorsten Hens: University of Zurich, Norwegian School of Economics and Business Administration (NHH), and Swiss Finance Institute
No 17-17, Swiss Finance Institute Research Paper Series from Swiss Finance Institute
Abstract:
We consider a stochastic model of a financial market with one-period assets and endogenous asset prices. The model was initially developed and analyzed in the context of Evolutionary Finance with the main focus on questions of "survival and extinction" of investment strategies (portfolio rules). In this paper we view the model from a different, game-theoretic, perspective and analyze Nash equilibrium properties of survival portfolio rules.
Keywords: Stochastic games; Evolutionary finance; Capital growth theory; Random dynamical systems. (search for similar items in EconPapers)
JEL-codes: C73 D52 G11 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2017-08
New Economics Papers: this item is included in nep-evo, nep-gth and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1717
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