Almost sure Nash equilibrium strategies in evolutionary models of asset markets

We consider a stochastic model of a financial market with long-lived dividend-paying 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. In t...

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Bibliographic Details
Published inMathematical methods of operations research (Heidelberg, Germany) Vol. 73; no. 2; pp. 235 - 250
Main Authors Bahsoun, W., Evstigneev, I. V., Xu, L.
Format Journal Article
LanguageEnglish
Published Berlin/Heidelberg Springer-Verlag 01.04.2011
Springer Nature B.V
Subjects
Business and Management
Calculus of Variations and Optimal Control; Optimization
Dividends
Equilibrium
Equilibrium conditions
Evolutionary
Finance
Game theory
Investment policy
Investments
Markets
Mathematical models
Mathematics
Mathematics and Statistics
Operations research
Operations Research/Decision Theory
Stochastic models
Strategy
Studies
Survival
Stochastic games
Evolutionary finance
Capital growth theory
91G10
Random dynamical systems
91A15
91B51
91G80
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Summary:We consider a stochastic model of a financial market with long-lived dividend-paying 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. In this paper we view the model from a different, game-theoretic, perspective and examine Nash equilibrium strategies, satisfying equilibrium conditions with probability one.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:1432-2994
1432-5217
DOI:10.1007/s00186-010-0344-z