SURVIVAL INVESTMENT STRATEGIES IN A CONTINUOUS-TIME MARKET MODEL WITH COMPETITION

DOI10.1142/S0219024921500011zbMath1466.91301arXiv1811.12491OpenAlexW3122168973MaRDI QIDQ4990916

Mikhail Zhitlukhin

Publication date: 1 June 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.12491

zbMATH Keywords

martingalesmarket competitionrelative wealthsurvival strategiesgrowth optimal strategies

Mathematics Subject Classification ID

Applications of game theory (91A80) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)

Related Items (1)

A continuous-time asset market game with short-lived assets

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