Survival investment strategies in a continuous-time market model with competition

• Tác giả: Mikhail Zhitlukhin
• Ngôn ngữ: eng
• Ký hiệu phân loại: 016.33 Bibliographies and catalogs of works on specific subjects or in specific disciplines
• Thông tin xuất bản: 2018
• Bộ sưu tập: Metadata
• ID: 162426

Tóm tắt

Comment: 23 pagesWe consider a stochastic game-theoretic model of an investment market in continuous time with short-lived assets and study strategies, called survival, which guarantee that the relative wealth of an investor who uses such a strategy remains bounded away from zero. The main results consist in obtaining a sufficient condition for a strategy to be survival and showing that all survival strategies are asymptotically close to each other. It is also proved that a survival strategy allows an investor to accumulate wealth in a certain sense faster than competitors.