P. 1
Nash 6

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04/25/2013

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# Step Stock Price = \$10.00 \$9.77 \$10.04 \$10.52 \$10.65 \$10.71 \$10.70 \$10.82 \$11.00 \$11.

22
25% Net Buys/Sells 1.00 -0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50
25% investor A 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
50% investor B 1.00 -1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
25% investor C 1.00 -1.00 -1.00 -1.00 -1.00 -1.00 -1.00 -1.00 -1.00 -1.00
Note: Investor A Buys every month.
Investor B Buys (Sells) when the price goes Above (Below) the MA.
Investor C Buys (Sells) when the price goes Below (Above) the MA.
monthly investment = \$10
25% of investors are type-A a = 1.00%
50% of investors are type-B b = 50%
25% of investors are type-C Annual: Monthly
Mean = 6% 0.50%
SD = 20% 5.77%
Investor B: MA Months Back 3 months
Investor C: MA Months Back 7 months
Note:
Monthly Returns are calculated according to:
a*(Net Buy/Sells)+b*(Random Return with prescribed Annual Mean /SD
for B for C Example:
Best percentage A 25% 25%
1% of Net Buys/Sells + 50% of Random Returns with Mean = 6% SD = 20%
Best percentage B 75% 25%
Best percentage C 0% 50%
Press F9 to see the portfolios
B Moving Average 4 8 See:
http://home.golden.net/~pjponzo/Nash-3.htm
C moving average 6 2
Count = 0 1 2 3 4 5 6 7 8 9
month = 1 2 3 4 5 6 7 8 9 10
A shares 1000 1001.02 1002.02 1002.97 1003.91 1004.84 1005.78 1006.70 1007.61 1008.50
\$\$ in stock \$10,000 \$9,784 \$10,062 \$10,550 \$10,692 \$10,763 \$10,757 \$10,892 \$11,087 \$11,319
\$\$ in cash \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0
total \$10,000 \$9,784 \$10,062 \$10,550 \$10,692 \$10,763 \$10,757 \$10,892 \$11,087 \$11,319
B shares 1000 0.00 975.27 976.22 977.16 978.09 979.03 979.95 980.86 981.75
\$\$ in stock \$10,000 \$0 \$9,794 \$10,268 \$10,407 \$10,477 \$10,471 \$10,603 \$10,793 \$11,019
\$\$ in cash \$0 \$9,784 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0
total \$10,000 \$9,784 \$9,794 \$10,268 \$10,407 \$10,477 \$10,471 \$10,603 \$10,793 \$11,019
C shares 1000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
\$\$ in stock \$10,000 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0
\$\$ in cash \$0 \$9,784 \$9,794 \$9,804 \$9,814 \$9,824 \$9,834 \$9,844 \$9,854 \$9,864
total \$10,000 \$9,784 \$9,794 \$9,804 \$9,814 \$9,824 \$9,834 \$9,844 \$9,854 \$9,864
\$0.00
\$2.00
\$4.00
\$6.00
\$8.00
\$10.00
\$12.00
\$14.00
\$16.00
\$18.00
\$20.00
\$0
\$2,000
\$4,000
\$6,000
\$8,000
\$10,000
\$12,000
\$14,000
\$16,000
\$18,000
\$20,000
25% A, 50% B, 25% C
A portfolio B portfolio C portfolio Stock Price
\$11.29 \$11.63 \$11.42 \$10.84 \$11.04 \$11.40 \$11.53 \$11.30 \$10.80 \$11.25 \$11.97 \$12.11
0.50 0.50 0.50 0.00 0.00 0.50 0.50 0.00 0.00 0.50 0.50 0.50
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
1.00 1.00 1.00 -1.00 -1.00 1.00 1.00 -1.00 -1.00 1.00 1.00 1.00
-1.00 -1.00 -1.00 1.00 1.00 -1.00 -1.00 1.00 1.00 -1.00 -1.00 -1.00
25% A, 50% B, 25% C
A portfolio B portfolio C portfolio Stock Price
step
2
a*(Net Buy/Sells)+b*(Random Return with prescribed Annual Mean /SD
1% of Net Buys/Sells + 50% of Random Returns with Mean = 6% SD = 20%
http://home.golden.net/~pjponzo/Nash-3.htm
10 11 12 13 14 15 16 17 18 19 20 21
11 12 13 14 15 16 17 18 19 20 21 22
1009.39 1010.25 1011.12 1012.04 1012.95 1013.83 1014.70 1015.58 1016.51 1017.39 1018.23 1019.05
\$11,399 \$11,750 \$11,543 \$10,974 \$11,187 \$11,555 \$11,696 \$11,479 \$10,979 \$11,450 \$12,190 \$12,344
\$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0
\$11,399 \$11,750 \$11,543 \$10,974 \$11,187 \$11,555 \$11,696 \$11,479 \$10,979 \$11,450 \$12,190 \$12,344
982.64 983.50 984.37 0.00 0.00 939.21 940.08 0.00 0.00 946.80 947.64 948.46
\$11,097 \$11,439 \$11,238 \$0 \$0 \$10,704 \$10,836 \$0 \$0 \$10,656 \$11,345 \$11,489
\$0 \$0 \$0 \$10,684 \$10,694 \$0 \$0 \$10,636 \$10,646 \$0 \$0 \$0
\$11,097 \$11,439 \$11,238 \$10,684 \$10,694 \$10,704 \$10,836 \$10,636 \$10,646 \$10,656 \$11,345 \$11,489
0.00 0.00 0.00 913.32 914.22 0.00 0.00 924.48 925.41 0.00 0.00 0.00
\$0 \$0 \$0 \$9,904 \$10,096 \$0 \$0 \$10,450 \$9,995 \$0 \$0 \$0
\$9,874 \$9,884 \$9,894 \$0 \$0 \$10,430 \$10,440 \$0 \$0 \$10,425 \$10,435 \$10,445
\$9,874 \$9,884 \$9,894 \$9,904 \$10,096 \$10,430 \$10,440 \$10,450 \$9,995 \$10,425 \$10,435 \$10,445
\$12.42 \$12.53 \$12.44 \$12.70 \$12.61 \$13.40 \$14.08 \$15.25 \$15.63 \$15.50 \$14.92 \$14.79
0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
-1.00 -1.00 -1.00 -1.00 -1.00 -1.00 -1.00 -1.00 -1.00 -1.00 -1.00 -1.00
22 23 24 25 26 27 28 29 30 31 32 33
23 24 25 26 27 28 29 30 31 32 33 34
1019.86 1020.66 1021.46 1022.25 1023.04 1023.79 1024.50 1025.15 1025.79 1026.44 1027.11 1027.79
\$12,670 \$12,789 \$12,705 \$12,986 \$12,902 \$13,724 \$14,424 \$15,631 \$16,034 \$15,908 \$15,325 \$15,206
\$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0
\$12,670 \$12,789 \$12,705 \$12,986 \$12,902 \$13,724 \$14,424 \$15,631 \$16,034 \$15,908 \$15,325 \$15,206
949.27 950.07 950.87 951.66 952.45 953.20 953.91 954.56 955.20 955.85 956.52 957.19
\$11,793 \$11,905 \$11,827 \$12,090 \$12,011 \$12,778 \$13,430 \$14,555 \$14,930 \$14,814 \$14,272 \$14,161
\$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0
\$11,793 \$11,905 \$11,827 \$12,090 \$12,011 \$12,778 \$13,430 \$14,555 \$14,930 \$14,814 \$14,272 \$14,161
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
\$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0
\$10,455 \$10,465 \$10,475 \$10,485 \$10,495 \$10,505 \$10,515 \$10,525 \$10,535 \$10,545 \$10,555 \$10,565
\$10,455 \$10,465 \$10,475 \$10,485 \$10,495 \$10,505 \$10,515 \$10,525 \$10,535 \$10,545 \$10,555 \$10,565
\$15.22 \$15.61 \$15.64 \$15.41 \$15.37 \$15.68 \$15.69 \$16.18 \$16.47 \$16.13 \$16.75 \$17.84
0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
-1.00 -1.00 -1.00 -1.00 -1.00 -1.00 -1.00 -1.00 -1.00 -1.00 -1.00 -1.00
34 35 36 37 38 39 40 41 42 43 44 45
35 36 37 38 39 40 41 42 43 44 45 46
1028.44 1029.08 1029.72 1030.37 1031.02 1031.66 1032.30 1032.91 1033.52 1034.14 1034.74 1035.30
\$15,654 \$16,065 \$16,106 \$15,882 \$15,847 \$16,179 \$16,198 \$16,712 \$17,018 \$16,679 \$17,334 \$18,469
\$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0
\$15,654 \$16,065 \$16,106 \$15,882 \$15,847 \$16,179 \$16,198 \$16,712 \$17,018 \$16,679 \$17,334 \$18,469
957.85 958.49 959.13 959.78 960.43 961.07 961.70 962.32 962.93 963.55 964.15 964.71
\$14,579 \$14,963 \$15,001 \$14,793 \$14,762 \$15,072 \$15,090 \$15,570 \$15,855 \$15,540 \$16,152 \$17,210
\$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0
\$14,579 \$14,963 \$15,001 \$14,793 \$14,762 \$15,072 \$15,090 \$15,570 \$15,855 \$15,540 \$16,152 \$17,210
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
\$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0 \$0
\$10,575 \$10,585 \$10,595 \$10,605 \$10,615 \$10,625 \$10,635 \$10,645 \$10,655 \$10,665 \$10,675 \$10,685
\$10,575 \$10,585 \$10,595 \$10,605 \$10,615 \$10,625 \$10,635 \$10,645 \$10,655 \$10,665 \$10,675 \$10,685
\$17.55 \$17.48 \$16.67 \$16.95 \$16.34
0.50 0.50 0.00 0.00 0.00
1.00 1.00 1.00 1.00 1.00
1.00 1.00 -1.00 -1.00 -1.00
-1.00 -1.00 1.00 1.00 1.00
46 47 48 49 50
47 48 49 50 51
1035.87 1036.44 1037.04 1037.63 1038.24
\$18,182 \$18,115 \$17,286 \$17,588 \$16,960
\$0 \$0 \$0 \$0 \$0
\$18,182 \$18,115 \$17,286 \$17,588 \$16,960
965.28 965.85 0.00 0.00 0.00
\$16,943 \$16,881 \$0 \$0 \$0
\$0 \$0 \$16,109 \$16,119 \$16,129
\$16,943 \$16,881 \$16,109 \$16,119 \$16,129
0.00 0.00 642.84 643.43 644.05
\$0 \$0 \$10,715 \$10,906 \$10,521
\$10,695 \$10,705 \$0 \$0 \$0
\$10,695 \$10,705 \$10,715 \$10,906 \$10,521

097 0.555 \$0 \$11.704 \$0 \$10.894 \$9.636 924.00 -1.344 \$0 \$12.00 \$0 \$10.694 \$10.50 1.00 -1.00 \$0 \$10.097 \$0 \$11.51 \$10.30 0.00 \$0 \$10.48 \$10.656 0.00 \$11.00 \$11.440 17 18 1015.00 \$11.00 \$11.00 \$0 \$10.479 \$0 \$11.00 1.50 1.995 \$0 \$9.238 0.430 16 17 1014.11 0.58 \$11.00 \$0 \$10.53 0.656 \$0 \$10.445 .83 \$11.84 0.489 \$0 \$11.684 913.190 947.25 0.htm 10 11 1009.884 \$9.37 \$11.344 948.50 1.096 \$0 \$10.00 1.187 0.684 \$10.00 \$11.479 0.80 0.00 -1.64 \$11.00 \$12.430 \$10.904 14 15 1012.00 -1.04 \$10.904 \$0 \$9. 25% C A portfolio B portfolio C portfolio Stock Price step 2 bed Annual Mean /SD Mean = 6% SD = 20% o/Nash-3.00 1.00 \$11.995 19 20 1017.696 940.00 1.00 1.50 1.00 1.32 \$9.00 \$0 \$9.096 15 16 1013.97 0.646 925.445 \$10.238 \$0 \$11.39 \$11.836 0.50 1.646 \$10.00 1.543 984.425 20 21 1018.345 \$0 \$11.00 \$0 \$10.95 \$11.636 \$10.750 \$0 \$11.00 -1.39 \$11.704 0.00 1.00 -1.00 -1.00 -1.00 \$0 \$10.979 0.874 11 12 1010.450 \$0 \$10.29 0.00 -1.63 0.00 \$11.696 \$0 \$11.440 \$10.00 -1.450 \$0 \$11.884 12 13 1011.450 18 19 1016.00 1.399 982.974 0.00 1.50 1.00 \$0 \$10.\$11.23 \$12.00 25% A.46 \$11.435 \$10.04 0.694 914.450 946.22 \$10.21 \$10.12 \$11.25 \$11.00 1.00 1. 50% B.974 \$0 \$10.00 \$10.543 \$0 \$11.42 0.399 \$0 \$11.555 939.00 \$11.00 1.00 1.40 0.00 \$0 \$9.187 \$0 \$11.00 \$0 \$10.439 0.41 \$9.00 \$10.435 21 22 1019.979 \$0 \$10.64 \$11.874 \$9.00 -1.894 13 14 1012.345 0.836 \$0 \$10.439 \$0 \$11.425 \$10.00 \$0 \$9.00 -1.00 1.489 0.50 \$11.00 1.50 1.05 \$12.80 \$10.750 983.08 \$10.190 \$0 \$12.70 \$11.50 1.

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