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

Sergei Belkov; Igor V. Evstigneev; Thorsten Hens; Le Xu

doi:10.1007/s11579-019-00254-w

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

Sergei Belkov, Igor V. Evstigneev, Thorsten Hens, Le Xu

Economics

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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.

Original language	English
Journal	Mathematics and Financial Economics
Early online date	1 Jan 2020
DOIs	https://doi.org/10.1007/s11579-019-00254-w
Publication status	E-pub ahead of print - 1 Jan 2020

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NE-Evol-Fin-12-12-19Accepted author manuscript, 259 KB

http://link.springer.com/10.1007/s11579-019-00254-w

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title = "Nash equilibrium strategies and survival portfolio rules in evolutionary models of asset markets",

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.",

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

Abstract

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