The Structure of Equilibrium in an Asset Market with Variable Supply
Manfred Nermuth ()
Vienna Economics Papers from University of Vienna, Department of Economics
We characterize the structure of Nash equilibria in asset market games with variable asset supply. In equilibrium, di®erent assets have dif- ferent returns, and (risk neutral) investors with di®erent wealth hold portfolios with di®erent structures. In equilibrium, an asset's return is inversely related to the elasticity of its supply. The larger an in- vestor, the more diversi¯ed is his portfolio. Smaller investors do not hold all the assets, but achieve higher percentage returns. More gen- erally, our results can be applied also to other \multi-market games" in which several players compete in several arenas simultaneously, like multi-market Cournot oligopolies, or multiple rent-seeking games.
JEL-codes: C72 D43 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-gth
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:vie:viennp:0804
Access Statistics for this paper
More papers in Vienna Economics Papers from University of Vienna, Department of Economics
Bibliographic data for series maintained by Paper Administrator ().