A stochastic game-theoretic model of a discrete-time asset market with short-lived assets and endogenous asset prices is considered. It is proved 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 under the assumption that the total payoffs of the assets are i.i.d. and the relative payoffs are bounded away from zero.

中文翻译：

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资产市场博弈中达到大财富水平的预期时间渐近最小化

考虑了具有短期资产和内生资产价格的离散时间资产市场的随机博弈论模型。事实证明，在假设资产的总收益是独立同分布且相对收益远离零的情况下，根据资产的预期相对收益按比例投资资产的策略渐近地最小化了达到较大财富水平所需的预期时间.