Nash equilibrium strategies and survival portfolio rules in evolutionary models of asset markets

Sergei Belkov (University of Manchester), Igor Evstigneev (University of Manchester), Thorsten Hens (University of Zurich, Swiss Finance Institute, and Norwegian School of Economics), Le Xu (National University of Singapore)

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

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Year of publication:	2017
Authors:	Belkov, Sergei ; Evstigneev, Igor V. ; Hens, Thorsten ; Xu, Le
Publisher:	Geneva : Swiss Finance Institute
Subject:	Stochastic games \| Evolutionary finance \| Capital growth theory \| Random dynamical systems \| Portfolio-Management \| Portfolio selection \| Evolutionäre Spieltheorie \| Evolutionary game theory \| Stochastisches Spiel \| Stochastic game \| Stochastischer Prozess \| Stochastic process \| Nash-Gleichgewicht \| Nash equilibrium \| Finanzmarkt \| Financial market \| Evolutionsökonomik \| Evolutionary economics \| CAPM

Extent:	1 Online-Ressource (circa 20 Seiten)
Series:	Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. no 17, 17 Swiss Finance Institute Research Paper ; No. 17-17
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	10.2139/ssrn.3018530 [DOI]
Classification:	C73 - Stochastic and Dynamic Games ; D52 - Incomplete Markets ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011761279