Competing in several areas simultaneously: the case of strategic asset markets

DOI10.3390/G2020209MaRDI QIDQ2344979zbMATH OpenOpenAlexFDO

Authors Manfred Nermuth

Publication date 19 May 2015

Published in Games (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3390/g2020209

zbMATH Keywords

asset marketsmulti-market gamesNash equilibrium

Mathematics Subject Classification ID

Applications of game theory (91A80) Portfolio theory (91G10) Financial applications of other theories (91G80)

Review text

Summary: We characterize the structure of Nash equilibria for a certain class of asset market games. In equilibrium, different assets have different returns, and (risk neutral) investors with different wealth hold portfolios with different structures. In equilibrium, an asset's return is inversely related to the elasticity of its supply. The larger an investor, the more diversified is his portfolio. Smaller investors do not hold all the assets, but achieve higher percentage returns. More generally, our results can be applied also to other ``multi-market games in which several players compete in several arenas simultaneously, like multi-market Cournot oligopolies, or multiple rent-seeking games.

Recommendations

• The asset market game
• Nash competitive equilibria and two-period fund separation
• Competition among institutional investors and asset specialization in multi-period discrete time
• Strategic behavior in financial markets
• On Competitive Market Mechanisms

Cites work

• Arbitrage and equilibrium in strategic security markets
• Evolution and market behavior
• Evolutionary stability of portfolio rules in incomplete markets
• From Nash to Walras via Shapley-Shubik.
• Nash competitive equilibria and two-period fund separation
• The asset market game
• The Evolution of Walrasian Behavior
• The evolutionary stability of perfectly competitive behavior

Cited in

(1)

• Competition among institutional investors and asset specialization in multi-period discrete time

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