Capital growth and survival strategies in a market with endogenous prices. (English) Zbl 1520.91397
Summary: We consider a multiagent asset market model which includes assets of two types: long-lived assets with exogenous prices and short-lived assets with endogenous prices. The first main result consists of constructing a strategy which allows an agent to maintain a nonvanishing share of market wealth over the infinite time horizon (a “survival” strategy). The second result shows that an agent who uses this strategy becomes a single surviving agent in the market with relative wealth converging to 1 if the representative strategy of the other agents is asymptotically different from it.
MSC:
91G15 | Financial markets |
Keywords:
survival strategies; capital growth; relative growth optimal strategies; endogenous prices; evolutionary finance; martingale convergenceReferences:
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