SURVIVAL INVESTMENT STRATEGIES IN A CONTINUOUS-TIME MARKET MODEL WITH COMPETITION

Zhitlukhin Mikhail

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SURVIVAL INVESTMENT STRATEGIES IN A CONTINUOUS-TIME MARKET MODEL WITH COMPETITION

机译：与竞争的连续时间市场模型中生存投资策略

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We 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 the competitors.

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来源
《International journal of theoretical and applied finance》 |2021年第1期|共24页
作者
Zhitlukhin Mikhail;
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作者单位

Russian Acad Sci Steklov Math Inst 8 Gubkina St Moscow 119991 Russia;

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原文格式 PDF
正文语种 eng
中图分类财政、金融;
关键词
Survival strategies; market competition; relative wealth; growth optimal strategies; martingales;

机译：生存策略;市场竞争;相对财富;增长最优策略;鞅;

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SURVIVAL INVESTMENT STRATEGIES IN A CONTINUOUS-TIME MARKET MODEL WITH COMPETITION

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