Competitive nash equilibria and two period fund separation

@inproceedings{Hens2003CompetitiveNE,
  title={Competitive nash equilibria and two period fund separation},
  author={Thorsten Hens and Stefan Reimann and B. J. Vogt},
  year={2003}
}
We suggest a simple asset market model in which we analyze competitive and strategic behaviornsimultaneously. If for competitive behavior two-fund separation holds across periods then itnalso holds for strategic behavior. In this case the relative prices of the assets do not dependnon whether agents behave strategically or competitively. Those agents acting strategically willnhowever invest less in the common mutual fund. Constant relative risk aversion and absencenof aggregate risk are shown… CONTINUE READING

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