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Nash Equilibrium Strategies and Survival Portfolio Rules in Evolutionary Models of Asset Markets

Author

Listed:
  • Sergei Belkov

    (University of Manchester)

  • Igor V. Evstigneev

    (University of Manchester)

  • Thorsten Hens

    (University of Zurich, Norwegian School of Economics and Business Administration (NHH), and 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.

Suggested Citation

  • Sergei Belkov & Igor V. Evstigneev & Thorsten Hens, 2017. "Nash Equilibrium Strategies and Survival Portfolio Rules in Evolutionary Models of Asset Markets," Swiss Finance Institute Research Paper Series 17-17, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp1717
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    More about this item

    Keywords

    Stochastic games; Evolutionary finance; Capital growth theory; Random dynamical systems.;
    All these keywords.

    JEL classification:

    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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