The Structure of Equilibrium in an Asset Market with Variable Supply
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.
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.:
- Carlos Alós-Ferrer & Ana Ania, 2005. "The evolutionary stability of perfectly competitive behavior," Economic Theory, Springer, vol. 26(3), pages 497-516, October.
- Ania, Ana B., 2008.
"Evolutionary stability and Nash equilibrium in finite populations, with an application to price competition,"
Journal of Economic Behavior & Organization,
Elsevier, vol. 65(3-4), pages 472-488, March.
- Ana B. Ania, 2005. "Evolutionary stability and Nash equilibrium in finite populations, with an application to price competition," Vienna Economics Papers 0601, University of Vienna, Department of Economics.
- Blume, Lawrence & Easley, David, 1992. "Evolution and market behavior," Journal of Economic Theory, Elsevier, vol. 58(1), pages 9-40, October.
- Carlos Alós-Ferrer & Ana B. Ania, 2003.
"The Asset Market Game,"
Vienna Economics Papers
0320, University of Vienna, Department of Economics.
- Hens, Thorsten & Reimann, Stefan & Vogt, Bodo, 2004. "Nash competitive equilibria and two-period fund separation," Journal of Mathematical Economics, Elsevier, vol. 40(3-4), pages 321-346, June.
When requesting a correction, please mention this item's handle: RePEc:vie:viennp:0804. 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: (Paper Administrator)
If references are entirely missing, you can add them using this form.