Nash Equilibrium Strategies and Survival Portfolio Rules in Evolutionary Models of Asset Markets
20 Pages Posted: 15 Aug 2017
Date Written: August 2017
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.
Keywords: Stochastic games. Evolutionary finance. Capital growth theory. Random dynamical systems.
JEL Classification: C73, D52, G11.
Suggested Citation: Suggested Citation