Competitive Nash Equilibria and Two Period Fund Separation
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Jaskold Gabszewicz, Jean & Vial, Jean-Philippe, 1972.
"Oligopoly "A la cournot" in a general equilibrium analysis,"
Journal of Economic Theory, Elsevier, vol. 4(3), pages 381-400, June.
- JASKOLD GABSZEWICZ, Jean & VIAL, Jean-Philippe, 1972. "Oligopoly "à la Cournot" in a general equilibrium analysis," LIDAM Reprints CORE 106, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luenberger, David G., 1997. "Investment Science," OUP Catalogue, Oxford University Press, number 9780195108095.
- Merton, Robert C., 1971.
"Optimum consumption and portfolio rules in a continuous-time model,"
Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
- R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
- Brunnermeier, Markus K., 2001. "Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis, and Herding," OUP Catalogue, Oxford University Press, number 9780198296980.
- Shapley, Lloyd S & Shubik, Martin, 1977. "Trade Using One Commodity as a Means of Payment," Journal of Political Economy, University of Chicago Press, vol. 85(5), pages 937-968, October.
- Marco Pagano, 1989.
"Trading Volume and Asset Liquidity,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 104(2), pages 255-274.
- Pagano, Marco, 1986. "Trading Volume and Asset Liquidity," CEPR Discussion Papers 142, C.E.P.R. Discussion Papers.
- Kraus, Alan & Litzenberger, Robert H, 1975. "Market Equilibrium in a Multiperiod State Preference Model with Logarithmic Utility," Journal of Finance, American Finance Association, vol. 30(5), pages 1213-1227, December.
- Rüdiger Frey & Alexander Stremme, 1997. "Market Volatility and Feedback Effects from Dynamic Hedging," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 351-374, October.
- Cass, David & Stiglitz, Joseph E., 1970. "The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds," Journal of Economic Theory, Elsevier, vol. 2(2), pages 122-160, June.
- Alos-Ferrer, Carlos & Ania, Ana B., 2005.
"The asset market game,"
Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 67-90, February.
- Carlos Alós-Ferrer & Ana B. Ania, 2003. "The Asset Market Game," Vienna Economics Papers vie0320, University of Vienna, Department of Economics.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Alos-Ferrer, Carlos & Ania, Ana B., 2005.
"The asset market game,"
Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 67-90, February.
- Carlos Alós-Ferrer & Ana B. Ania, 2003. "The Asset Market Game," Vienna Economics Papers 0320, University of Vienna, Department of Economics.
- Adelina Gschwandtner, 2005.
"Profit persistence in the 'very' long run: evidence from survivors and exiters,"
Applied Economics, Taylor & Francis Journals, vol. 37(7), pages 793-806.
- Adelina Gschwandtner, 2004. "Profit Persistence in the "Very" Long Run: Evidence from Survivors," Vienna Economics Papers 0401, University of Vienna, Department of Economics.
- Bruno S. Frey & Simon Luechinger & Alois Stutzer, 2007.
"Calculating Tragedy: Assessing The Costs Of Terrorism,"
Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 1-24, February.
- Bruno S. Frey & Simon Luechinger & Alois Stutzer, "undated". "Calculating Tragedy: Assessing the Costs of Terrorism," IEW - Working Papers 205, Institute for Empirical Research in Economics - University of Zurich.
- Bruno S. Frey & Simon Luechinger & Alois Stutzer, 2004. "Calculating Tragedy: Assessing the Costs of Terrorism," CESifo Working Paper Series 1341, CESifo.
- Bruno S. Frey & Simon Luechinger & Alois Stutzer, 2004. "Calculating Tragedy: Assessing the Costs of Terrorism," CREMA Working Paper Series 2004-23, Center for Research in Economics, Management and the Arts (CREMA).
- Patrick Leoni, 2008.
"Market power, survival and accuracy of predictions in financial markets,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 34(1), pages 189-206, January.
- Patrick Leoni, "undated". "Market Power, Survival and Accuracy of Predictions in Financial Markets," IEW - Working Papers 216, Institute for Empirical Research in Economics - University of Zurich.
- Patarick Leoni, 2006. "Market Power, Survival and Accuracy of Predictions in Financial Markets," Economics Department Working Paper Series n1701106, Department of Economics, National University of Ireland - Maynooth.
- Bruno Frey, 2005.
"‘‘Just forget it.’’ Memory distortions as bounded rationality,"
Mind & Society: Cognitive Studies in Economics and Social Sciences, Springer;Fondazione Rosselli, vol. 4(1), pages 13-25, June.
- Bruno S. Frey, 2004. "?Just Forget It?: Memory Distortion as Bounded Rationality," CREMA Working Paper Series 2005-01, Center for Research in Economics, Management and the Arts (CREMA).
- Dmitry Levando, 2012. "A Survey Of Strategic Market Games," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 57(194), pages 63-106, July - Se.
- Manfred Nermuth, 2008. "The Structure of Equilibrium in an Asset Market with Variable Supply," Vienna Economics Papers 0804, University of Vienna, Department of Economics.
- Alos-Ferrer, Carlos & Ania, Ana B., 2005.
"The asset market game,"
Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 67-90, February.
- Carlos Alós-Ferrer & Ana B. Ania, 2003. "The Asset Market Game," Vienna Economics Papers vie0320, University of Vienna, Department of Economics.
- Gerber, Anke & Hens, Thorsten & Woehrmann, Peter, 2005. "Dynamic General Equilibrium and T-Period Fund Separation," Discussion Papers 2005/16, Norwegian School of Economics, Department of Business and Management Science.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Hens, Thorsten & Reimann, Stefan & Vogt, Bodo, 2004. "Nash competitive equilibria and two-period fund separation," Journal of Mathematical Economics, Elsevier, vol. 40(3-4), pages 321-346, June.
- Jean Gabszewicz & Giulio Codognato, 1991.
"Équilibres de Cournot-Walras dans une économie d'échange,"
Revue Économique, Programme National Persée, vol. 42(6), pages 1013-1026.
- CODOGNATO, Giulio & GABSZEWICZ, Jean, 1991. "Equilibres de Cournot-Walras dans une économie d'échange," LIDAM Reprints CORE 964, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Roche, Hervé & Tompaidis, Stathis & Yang, Chunyu, 2013. "Why does junior put all his eggs in one basket? A potential rational explanation for holding concentrated portfolios," Journal of Financial Economics, Elsevier, vol. 109(3), pages 775-796.
- Pradeep Dubey & Martin Shubik, 1978. "On 'On the Foundations of the Theory of Monopolistic Competition'," Cowles Foundation Discussion Papers 484, Cowles Foundation for Research in Economics, Yale University.
- Gerrard, Russell & Kyriakou, Ioannis & Nielsen, Jens Perch & Vodička, Peter, 2023. "On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging," European Journal of Operational Research, Elsevier, vol. 307(2), pages 948-962.
- Ludovic A. Julien, 2024.
"Noncooperative oligopoly equilibrium in markets with hierarchical competition,"
International Journal of Game Theory, Springer;Game Theory Society, vol. 53(2), pages 325-371, June.
- Ludovic A. Julien, 2021. "Noncooperative oligopoly equilibrium in markets with hierarchical competition," EconomiX Working Papers 2021-14, University of Paris Nanterre, EconomiX.
- Ludovic A. Julien, 2021. "Noncooperative oligopoly equilibrium in markets with hierarchical competition," Post-Print hal-04296023, HAL.
- Ludovic A. Julien, 2023. "Noncooperative oligopoly equilibrium in markets with hierarchical competition," Post-Print hal-04296060, HAL.
- Ludovic A. Julien, 2021. "Noncooperative oligopoly equilibrium in markets with hierarchical competition," Working Papers hal-04159741, HAL.
- Busetto, Francesca & Codognato, Giulio & Ghosal, Sayantan, 2012.
"Noncooperative Oligopoly in Markets with a Continuum of Traders: A Limit Theorem,"
The Warwick Economics Research Paper Series (TWERPS)
994, University of Warwick, Department of Economics.
- Francesca Busetto & Giulio Codognato & Sayantan Ghosal, 2012. "Noncooperative Oligopoly in Markets with a Continuum of Traders: A Limit Theorem," Working Papers hal-04141028, HAL.
- Busetto, Francesca & Codognato, Giulio & Ghosal, Sayantan, 2012. "Noncooperative Oligopoly in Markets with a Continuum of Traders: A Limit Theorem," Economic Research Papers 270630, University of Warwick - Department of Economics.
- Francesca Busetto & Giulio Codognato & Sayantan Ghosal, 2012. "Noncooperative Oligopoly in Markets with a Continuum of Traders: A Limit Theorem," EconomiX Working Papers 2012-49, University of Paris Nanterre, EconomiX.
- Manfred Nermuth, 2011. "Competing in Several Areas Simultaneously: The Case of Strategic Asset Markets," Games, MDPI, vol. 2(2), pages 1-26, April.
- Juan Dubra & Helios Herrera, 2002. "Market Participation, Information and Volatility," Working Papers 0206, Centro de Investigacion Economica, ITAM.
- Ludovic A. Julien & Fabrice Tricou, 2008.
"Market Price Mechanisms and Stackelberg General Equilibria,"
Working Papers
hal-04140726, HAL.
- Ludovic A. Julien & Fabrice Tricou, 2008. "Market Price Mechanisms and Stackelberg General Equilibria," EconomiX Working Papers 2008-29, University of Paris Nanterre, EconomiX.
- Martin Shubik & Myrna Holtz Wooders, 1982. "Approximate Cores of a General Class of Economies: Part II. Set-Up Costs and Firm Formation in Coalition Production Economies," Cowles Foundation Discussion Papers 619, Cowles Foundation for Research in Economics, Yale University.
- Benjamin M. Friedman & V. Vance Roley, 1985. "Aspects of Investor Behavior Under Risk," NBER Working Papers 1611, National Bureau of Economic Research, Inc.
- Mikhail Zhitlukhin, 2022. "A continuous-time asset market game with short-lived assets," Finance and Stochastics, Springer, vol. 26(3), pages 587-630, July.
- Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
- Mkaouar, Farid & Prigent, Jean-Luc & Abid, Ilyes, 2017.
"Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds,"
Economic Modelling, Elsevier, vol. 67(C), pages 228-247.
- Farid Mkaouar & Jean-Luc Prigent & Ilyes Abid, 2017. "Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds," Post-Print hal-03679700, HAL.
- Julien, Ludovic A., 2013.
"On Stackelberg competition in strategic multilateral exchange,"
Research in Economics, Elsevier, vol. 67(1), pages 59-75.
- Ludovic A. Julien, 2013. "On Stackelberg competition in strategic multilateral exchange," Post-Print hal-01385854, HAL.
- Chongmin Kim & Kam-Chau Wong, 2011. "Evolution of Walrasian equilibrium in an exchange economy," Journal of Evolutionary Economics, Springer, vol. 21(4), pages 619-647, October.
- Alex Dickson & Roger Hartley, 2013.
"Bilateral oligopoly and quantity competition,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 52(3), pages 979-1004, April.
- Alex Dickson & Roger Hartley, 2009. "Bilateral oligopoly and quantity competition," Economics Discussion Paper Series 0911, Economics, The University of Manchester.
- Alex Dickson & Roger Hartley, 2009. "Bilateral oligopoly and quantity competition," Working Papers 0922, University of Strathclyde Business School, Department of Economics.
- Dickson, Alex & Hartley, Roger, 2009. "Bilateral oligopoly and quantity competition," SIRE Discussion Papers 2009-52, Scottish Institute for Research in Economics (SIRE).
- Julien, Ludovic A., 2011.
"Unemployment equilibrium and economic policy in mixed markets,"
Economic Modelling, Elsevier, vol. 28(4), pages 1931-1940, July.
- Ludovic A. JULIEN, 2009. "Unemployment equilibrium and economic policy in mixed markets," LIDAM Discussion Papers IRES 2009030, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Ludovic Julien, 2011. "Unemployment equilibrium and economic policy in mixed market," Post-Print halshs-01227988, HAL.
- GRAZZINI, Lisa, 2000. "Ad valorem and per unit taxation in an oligopoly model," LIDAM Discussion Papers CORE 2000054, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
More about this item
Keywords
strategic behavior; competitive behavior; two-fund-separation; CAPM.;All these keywords.
JEL classification:
- C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zur:iewwpx:172. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Severin Oswald (email available below). General contact details of provider: .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.