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Asymptotic minimization of expected time to reach a large wealth level in an asset market game

Mikhail Zhitlukhin

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Abstract: We consider a stochastic game-theoretic model of a discrete-time asset market with short-lived assets and endogenous asset prices. We prove that the strategy which invests in the assets proportionally to their expected relative payoffs asymptotically minimizes the expected time needed to reach a large wealth level. The result is obtained under the assumption that the relative asset payoffs and the growth rate of the total payoff during each time period are independent and identically distributed.

Date: 2020-07
New Economics Papers: this item is included in nep-gth
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Handle: RePEc:arx:papers:2007.04909