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Capital growth and survival strategies in a market with endogenous prices

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  • Mikhail Zhitlukhin

Abstract

We call an investment strategy survival, if an agent who uses it maintains a non-vanishing share of market wealth over the infinite time horizon. In a discrete-time multi-agent model with endogenous asset prices determined through a short-run equilibrium of supply and demand, we show that a survival strategy can be constructed as follows: an agent should assume that only their actions determine the prices and use a growth optimal (log-optimal) strategy with respect to these prices, disregarding the actual prices. Then any survival strategy turns out to be close to this strategy asymptotically. The main results are obtained under the assumption that the assets are short-lived.

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  • Mikhail Zhitlukhin, 2021. "Capital growth and survival strategies in a market with endogenous prices," Papers 2101.09777, arXiv.org.
    • Handle: RePEc:arx:papers:2101.09777
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    References listed on IDEAS

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    1. 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.
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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. 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.

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