Nash equilibrium strategies and survival portfolio rules in evolutionary models of asset markets

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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.

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Original languageEnglish
JournalMathematics and Financial Economics
Early online date1 Jan 2020
Publication statusE-pub ahead of print - 1 Jan 2020

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