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Survival Investment Strategies In A Continuous-Time Market Model With Competition

Author

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  • MIKHAIL ZHITLUKHIN

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

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.

Suggested Citation

  • Mikhail Zhitlukhin, 2021. "Survival Investment Strategies In A Continuous-Time Market Model With Competition," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(01), pages 1-24, February.
    • Handle: RePEc:wsi:ijtafx:v:24:y:2021:i:01:n:s0219024921500011
    DOI: 10.1142/S0219024921500011
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    Citations

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    Cited by:

    1. Mikhail Zhitlukhin, 2021. "Asymptotically optimal strategies in a diffusion approximation of a repeated betting game," Papers 2108.11998, arXiv.org.
    2. Mikhail Zhitlukhin, 2022. "A continuous-time asset market game with short-lived assets," Finance and Stochastics, Springer, vol. 26(3), pages 587-630, July.
    3. I. V. Evstigneev & T. Hens & M. J. Vanaei, 2023. "Evolutionary finance: a model with endogenous asset payoffs," Journal of Bioeconomics, Springer, vol. 25(2), pages 117-143, August.
    4. Mikhail Zhitlukhin, 2021. "Capital growth and survival strategies in a market with endogenous prices," Papers 2101.09777, arXiv.org.

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