competing in several areas simultaneously the case of strategic asset markets同时在多个领域竞争的战略资产市场.pdfVIP

Games 2011, 2, 209-234; doi:10.3390/g2020209 OPEN ACCESS games ISSN 2073-4336 /journal/games Article Competing in Several Areas Simultaneously: The Case of Strategic Asset Markets Manfred Nermuth Department of Economics, University of Vienna, Hohenstaufengasse 9, A-1010 Vienna, Austria; E-Mail: manfred.nermuth@univie.ac.at; Tel.: +43 1 427737440; Fax: +43 1 4277 9374 Received: 20 December 2010; in revised form: 16 March 2011 / Accepted: 7 April 2011 / Published: 12 April 2011 Abstract: 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. Keywords: asset markets; Nash Equilibrium; multigames 1. Introduction 1.1. Motivation There are many situations in which a number of players play several different games (interact in different markets) simultaneously, and what a player can do in one game is constrained by what he does in the others (so that the games cannot be anal