论文标题
在资产市场游戏中达到大量财富水平的预期时间的渐近最小化
Asymptotic minimization of expected time to reach a large wealth level in an asset market game
论文作者
论文摘要
我们考虑了具有短寿命资产和内源性资产价格的离散时间资产市场的随机游戏理论模型。我们证明，与预期的相对收益相称地投资于资产的策略渐近地将达到巨大财富水平所需的预期时间最小化。结果是在每个时间段内的相对资产回报和总收益的增长率的假设下获得的，并且分布相同。
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 assets proportionally to their expected relative payoffs asymptotically minimizes the expected time needed to reach a large wealth level. The result is obtained under the assumption that the relative asset payoffs and the growth rate of the total payoff during each time period are independent and identically distributed.
