Belkov, Sergei; Evstigneev, Igor V; Hens, Thorsten; Xu, Le (2020). Nash equilibrium strategies and survival portfolio rules in evolutionary models of asset markets. Mathematics and Financial Economics, 14:249-262.
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.
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.
| Item Type: | Journal Article, refereed, original work |
|---|---|
| Communities & Collections: | 03 Faculty of Economics > Department of Banking and Finance |
| Dewey Decimal Classification: | 330 Economics |
| Scopus Subject Areas: | Physical Sciences > Statistics and Probability
Social Sciences & Humanities > Finance Social Sciences & Humanities > Statistics, Probability and Uncertainty |
| Language: | English |
| Date: | 1 January 2020 |
| Deposited On: | 16 Nov 2020 18:16 |
| Last Modified: | 24 Nov 2023 02:43 |
| Publisher: | Springer |
| ISSN: | 1862-9679 |
| OA Status: | Closed |
| Publisher DOI: | https://doi.org/10.1007/s11579-019-00254-w |
| Other Identification Number: | merlin-id:19353 |
Belkov, Sergei