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| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Nash competitive equilibria and two-period fund separation |
| 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 | Journal of Mathematical Economics |
| Publisher | Elsevier |
| Geographical Reach | international |
| ISSN | 0304-4068 |
| Volume | 40 |
| Number | 3-4 |
| Page Range | 321 - 346 |
| Date | 2004 |
| Abstract Text | We suggest a simple asset market model in which we analyze competitive and strategic behavior simultaneously. If two-fund separation is found to hold across periods for competitive behavior, it also holds for strategic behavior. In this case the relative prices of the assets do not depend on whether the agents behave strategically or competitively. The agents acting strategically will however invest less in the common mutual fund. Constant relative risk aversion and the absence of aggregate risk are shown to be two alternative sufficient conditions for two-period fund separation. By including derivatives in our model, further strategic aspects arise. In this case the strategic behavior is found to differ from the competitive behavior even for utility functions leading to two-fund separation. |
| Free access at | Related URL |
| Related URLs | |
| Digital Object Identifier | 10.1016/j.jmateco.2004.01.001 |
| Other Identification Number | merlin-id:19950 |
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