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

Mikhail Zhitlukhin ()
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Mikhail Zhitlukhin: Steklov Mathematical Institute of the Russian Academy of Sciences, 8 Gubkina St., Moscow 119991, Russia

International Journal of Theoretical and Applied Finance (IJTAF), 2021, vol. 24, issue 01, 1-24

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 the competitors.

Keywords: Survival strategies; market competition; relative wealth; growth optimal strategies; martingales (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1142/S0219024921500011

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