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

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  • Mikhail Zhitlukhin

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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  • Mikhail Zhitlukhin, 2018. "Survival investment strategies in a continuous-time market model with competition," Papers 1811.12491, arXiv.org, revised Sep 2019.
    • Handle: RePEc:arx:papers:1811.12491
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    1. Palczewski, Jan & Schenk-Hoppé, Klaus Reiner, 2010. "From discrete to continuous time evolutionary finance models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 913-931, May.
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    Cited by:

    1. Mikhail Zhitlukhin, 2021. "Capital growth and survival strategies in a market with endogenous prices," Papers 2101.09777, arXiv.org.

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