Competing in Several Areas Simultaneously: The Case of Strategic Asset Markets
We characterize the structure of Nash equilibria for a certain class of asset market games. In equilibrium, different assets have different returns, and (risk neutral) investors with different wealth hold portfolios with different structures. In equilibrium, an assetâ€™s return is inversely related to the elasticity of its supply. The larger an investor, the more diversified is his portfolio. Smaller investors do not hold all the assets, but achieve higher percentage returns. More generally, our results can be applied also to other â€œmulti-market gamesâ€ in which several players compete in several arenas simultaneously, like multi-market Cournot oligopolies, or multiple rent-seeking games.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Blume, Lawrence & Easley, David, 1992. "Evolution and market behavior," Journal of Economic Theory, Elsevier, vol. 58(1), pages 9-40, October.
- Hens, Thorsten & Schenk-Hoppe, Klaus Reiner, 2005.
"Evolutionary stability of portfolio rules in incomplete markets,"
Journal of Mathematical Economics,
Elsevier, vol. 41(1-2), pages 43-66, February.
- Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2003. "Evolutionary Stability of Portfolio Rules in Incomplete Markets," Discussion Papers 03-03, University of Copenhagen. Department of Economics.
- Carlos Alós-Ferrer & Ana B. Ania, 2003.
"The Asset Market Game,"
Vienna Economics Papers
0320, University of Vienna, Department of Economics.
- Fernando Vega Redondo, 1996.
"The evolution of walrasian behavior,"
Working Papers. Serie AD
1996-05, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Carlos Alós-Ferrer & Ana Ania, 2005. "The evolutionary stability of perfectly competitive behavior," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 26(3), pages 497-516, October.
- Leonidas Koutsougeras & Konstantinos Papadopoulos, 2004. "Arbitrage and equilibrium in strategic security markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 23(3), pages 553-568, March.
- Shapley, Lloyd S & Shubik, Martin, 1977. "Trade Using One Commodity as a Means of Payment," Journal of Political Economy, University of Chicago Press, vol. 85(5), pages 937-68, October.
When requesting a correction, please mention this item's handle: RePEc:gam:jgames:v:2:y:2011:i:2:p:209-234:d:12024. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (XML Conversion Team)
If references are entirely missing, you can add them using this form.