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

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...

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Veröffentlicht in:	Mathematics and financial economics 2020-03, Vol.14 (2), p.249-262
Hauptverfasser:	Belkov, Sergei, Evstigneev, Igor V., Hens, Thorsten, Xu, Le
Format:	Artikel
Sprache:	eng
Schlagworte:	Applications of Mathematics Assets Biological evolution Economic Theory/Quantitative Economics/Mathematical Methods Economics Endogenous Equilibrium Extinction Finance Financial market Financing Game theory Insurance International taxation Investment strategy Macroeconomics/Monetary Economics//Financial Economics Management Mathematics Mathematics and Statistics Prices Pricing Quantitative Finance Statistics for Business Stochastic models Survival
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Beschreibung
Zusammenfassung:	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.
ISSN:	1862-9679 1862-9660
DOI:	10.1007/s11579-019-00254-w