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

2018/11/29 by Zhitlukhin, Mikhail
#FOS: Economics and business #General Economics (econ.GN) #Mathematical Finance (q-fin.MF)

paper · doi:10.48550/arxiv.1811.12491

Abstract

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 competitors.

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