具有内生价格的随机市场模型中的最优增长战略

IF 0.5 4区数学 Q4 STATISTICS & PROBABILITY

Theory of Probability and its Applications Pub Date : 2024-08-14 DOI:10.1137/s0040585x97t991866

M. V. Zhitlukhin

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引用次数: 0

摘要

概率论及其应用》（Theory of Probability &Its Applications），第 69 卷第 2 期，第 205-216 页，2024 年 8 月。我们考虑了一个具有内生资产价格的随机多代理市场模型，并找到了一种单个代理无法渐进地超越其表现的市场策略。这种策略应根据资产贴现相对红利强度的条件预期，按比例在资产间分配资本。得出结果的主要假设是，所有代理都是小代理，即单个代理的行为不会影响资产价格。最优策略是线性反向随机微分方程的解。

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Optimal Growth Strategies in a Stochastic Market Model with Endogenous Prices

Theory of Probability &Its Applications, Volume 69, Issue 2, Page 205-216, August 2024.
We consider a stochastic multiagent market model with endogenous asset prices and find a market strategy which cannot be asymptotically outperformed by a single agent. Such a strategy should distribute its capital among the assets proportionally to the conditional expectations of their discounted relative dividend intensities. The main assumption, under which the results are obtained, is that all agents should be small in the sense that actions of an individual agent do not affect the asset prices. The optimal strategy is found as a solution of a linear backward stochastic differential equation.

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来源期刊

Theory of Probability and its Applications 数学-统计学与概率论

CiteScore

1.00

自引率

16.70%

发文量

审稿时长

6 months

期刊介绍： Theory of Probability and Its Applications (TVP) accepts original articles and communications on the theory of probability, general problems of mathematical statistics, and applications of the theory of probability to natural science and technology. Articles of the latter type will be accepted only if the mathematical methods applied are essentially new.