2021/01/24 by Mikhail Zhitlukhin, Zhitlukhin, Mikhail
Economics, Econometrics and Finance · #91A25 #91B55 #Complex Systems and Time Series Analysis #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Mathematical Finance (q-fin.MF) #Probability (math.PR)
paper · pdf · doi:10.48550/arxiv.2101.09777
openalex publication_date 2021/01/24 · openalex created_date 2023/08/02 · openalex updated_date 2026/07/28
We call an investment strategy survival, if an agent who uses it maintains a\nnon-vanishing share of market wealth over the infinite time horizon. In a\ndiscrete-time multi-agent model with endogenous asset prices determined through\na short-run equilibrium of supply and demand, we show that a survival strategy\ncan be constructed as follows: an agent should assume that only their actions\ndetermine the prices and use a growth optimal (log-optimal) strategy with\nrespect to these prices, disregarding the actual prices. Then any survival\nstrategy turns out to be close to this strategy asymptotically. The main\nresults are obtained under the assumption that the assets are short-lived.\n