英文标题：
《Relative growth optimal strategies in an asset market game》
---
作者：
Yaroslav Drokin, Mikhail Zhitlukhin
---
最新提交年份：
2020
---
英文摘要：
  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.
---
中文摘要：
我们考虑一个市场的博弈论模型，其中投资者竞争多个资产产生的收益。主要结果在于证明了一种称为相对增长最优的策略的存在性和唯一性，即其财富在市场总财富中所占份额的对数是其他投资者任何策略的次比例。研究还表明，与竞争策略相比，该策略在实现最大资本增长率的意义上是渐近最优的。基于所得结果，我们研究了当所有投资者使用相对增长最优策略时，市场的渐近结构。
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--

---
PDF下载：
-->