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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Nash equilibrium strategies and survival portfolio rules in evolutionary models of asset markets |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Mathematics and Financial Economics |
| Publisher | Springer |
| Geographical Reach | international |
| ISSN | 1862-9679 |
| Volume | 14 |
| Page Range | 249 - 262 |
| Date | 2020 |
| Abstract Text | 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. |
| Digital Object Identifier | 10.1007/s11579-019-00254-w |
| Other Identification Number | merlin-id:19353 |
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