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Nash Equilibrium Strategies and Survival Portfolio Rules in Evolutionary Models of Asset Markets

20 Pages Posted: 15 Aug 2017  

Sergei Belkov

University of Manchester

Igor V. Evstigneev

University of Manchester - Economics, School of Social Sciences

Thorsten Hens

University of Zurich - Department of Banking and Finance; Norwegian School of Economics and Business Administration (NHH); Swiss Finance Institute (Zurich Center)

Le Xu

University of Manchester

Date Written: August 2017

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.

Keywords: Stochastic games. Evolutionary finance. Capital growth theory. Random dynamical systems.

JEL Classification: C73, D52, G11.

Suggested Citation

Belkov, Sergei and Evstigneev, Igor V. and Hens, Thorsten and Xu, Le, Nash Equilibrium Strategies and Survival Portfolio Rules in Evolutionary Models of Asset Markets (August 2017). Swiss Finance Institute Research Paper No. 17-17. Available at SSRN: https://ssrn.com/abstract=3018530

Sergei Belkov

University of Manchester ( email )

Manchester
United Kingdom

Igor Evstigneev

University of Manchester - Economics, School of Social Sciences ( email )

Oxford Road
Manchester, M13 9PL
United Kingdom
+44 161 2754275 (Phone)
+44 161 2754812 (Fax)

HOME PAGE: http://www.evstigneev.net

Thorsten Hens (Contact Author)

University of Zurich - Department of Banking and Finance ( email )

Plattenstrasse 32
Zurich, 8032
Switzerland
+41-44 634 37 06 (Phone)

Norwegian School of Economics and Business Administration (NHH)

Helleveien 30
Bergen, 5045
Norway

Swiss Finance Institute (Zurich Center)

c/o University of Geneve
40, Bd du Pont-d'Arve
1211 Geneva, CH-6900
Switzerland

Le Xu

University of Manchester ( email )

Oxford Road
Manchester, M13 9PL
United Kingdom

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