Abstract
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.
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Financial support from the Swiss National Center of Competence in Research “Financial Valuation and Risk Management” (project Behavioural and Evolutionary Finance) and from the Finance Market Fund, Norway (project Stochastic Dynamics of Financial Markets) is gratefully acknowledged.
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Bahsoun, W., Evstigneev, I.V. & Xu, L. Almost sure Nash equilibrium strategies in evolutionary models of asset markets. Math Meth Oper Res 73, 235–250 (2011). https://doi.org/10.1007/s00186-010-0344-z
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DOI: https://doi.org/10.1007/s00186-010-0344-z