论文标题
在连续时间资产市场中代表代理的最佳增长策略
Optimal growth strategies for a representative agent in a continuous-time asset market
论文作者
论文摘要
我们提出了一种资产市场和研究条件的多代理模型，以确保单个代理商的战略不能超越市场。该模型通过考虑使用相同策略的无限无限代理和另一种试图超越市场的无限剂量的无限代理来假设市场的均值近似。我们表明，市场代理商的最佳策略是将其投资预算分配在与预期的相对股利强度相称的资产中。
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 mean-field approximation of the market by considering an infinite number of infinitesimal agents who use the same strategy and another infinitesimal agent with a different strategy who tries to outperform the market. We show that the optimal strategy for the market agents is to split their investment budgets among the assets proportionally to their discounted expected relative dividend intensities.
