Capital Growth and Survival Strategies in a Market with Endogenous Prices
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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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Cited in
(9)- Survival and the art of profit maximization
- Who wins? Study of long-run trader survival in an artificial stock market
- Relative growth optimal strategies in an asset market game
- A continuous-time asset market game with short-lived assets
- Relative extinction of heterogeneous agents
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- Survival investment strategies in a continuous-time market model with competition
- Optimal growth strategies in a stochastic market model with endogenous prices
- Martingale methods in the problem of existence of survival strategies
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