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Relative growth optimal strategies in an asset market game

We consider a game-theoretic model of a market where investors compete for payoffs yielded by several assets. The main result consists in a proof of the existence and uniqueness of a strategy, called relative growth optimal, such that the logarithm of the share of its wealth in the total wealth of the market is a submartingale for any strategies of the other investors. It is also shown that this strategy is asymptotically optimal in the sense that it achieves the maximal capital growth rate when compared to competing strategies. Based on the results obtained, we study the asymptotic structure of the market when all the investors use the relative growth optimal strategy.

preprint2020arXivOpen access
Yaroslav DrokinMikhail Zhitlukhin
q-fin.MF
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Open access2 authors1 topic
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
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Yaroslav DrokinMikhail Zhitlukhin

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