13 citations · 30 across the 14 of their papers we have counts for
7 papers · 1 filter
Optimal growth strategies for a representative agent in a continuous-time asset market
Mikhail Zhitlukhin
We propose a multi-agent model of an asset market and study conditions that guarantee that the strategy of an individual agent cannot outperform the market. The model assumes a mea…
Asymptotically optimal strategies in a diffusion approximation of a repeated betting game
Mikhail Zhitlukhin
We construct a diffusion approximation of a repeated game in which agents make bets on outcomes of i.i.d. random vectors and their strategies are close to an asymptotically optimal…
Capital growth and survival strategies in a market with endogenous prices
Mikhail Zhitlukhin
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 mod…
A continuous-time asset market game with short-lived assets
Mikhail Zhitlukhin
We consider a continuous-time game-theoretic model of an investment market with short-lived assets and endogenous asset prices. The first goal of the paper is to formulate a stocha…
Asymptotic minimization of expected time to reach a large wealth level in an asset market game
Mikhail Zhitlukhin
We consider a stochastic game-theoretic model of a discrete-time asset market with short-lived assets and endogenous asset prices. We prove that the strategy which invests in the a…
Relative growth optimal strategies in an asset market game
Yaroslav Drokin, Mikhail Zhitlukhin
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…
Survival investment strategies in a continuous-time market model with competition
Mikhail Zhitlukhin
We consider a stochastic game-theoretic model of an investment market in continuous time with short-lived assets and study strategies, called survival, which guarantee that the rel…