Existence, uniqueness and evaluation of log-optimal investment portfolio

Igor Vajda; Ferdinand Österreicher

Kybernetika (1993)

  • Volume: 29, Issue: 2, page 105-120
  • ISSN: 0023-5954

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Vajda, Igor, and Österreicher, Ferdinand. "Existence, uniqueness and evaluation of log-optimal investment portfolio." Kybernetika 29.2 (1993): 105-120. <http://eudml.org/doc/27713>.

@article{Vajda1993,
author = {Vajda, Igor, Österreicher, Ferdinand},
journal = {Kybernetika},
keywords = {stock market; log optimal investment portfolio},
language = {eng},
number = {2},
pages = {105-120},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Existence, uniqueness and evaluation of log-optimal investment portfolio},
url = {http://eudml.org/doc/27713},
volume = {29},
year = {1993},
}

TY - JOUR
AU - Vajda, Igor
AU - Österreicher, Ferdinand
TI - Existence, uniqueness and evaluation of log-optimal investment portfolio
JO - Kybernetika
PY - 1993
PB - Institute of Information Theory and Automation AS CR
VL - 29
IS - 2
SP - 105
EP - 120
LA - eng
KW - stock market; log optimal investment portfolio
UR - http://eudml.org/doc/27713
ER -

References

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  3. T. M. Cover, An algorithm for maximizing expected log investment return, IEEE Trans. Inform. Theory 30 (1984), 369-373. (1984) Zbl0541.90007MR0754868
  4. T. M. Cover, Universal portfolios, Mathematical Finance 16 (1991), 876-898. (1991) Zbl0900.90052MR1113417
  5. T. M. Cover, J. A. Thomas, Elements of Information Theory, Wiley, New York 1991. (1991) Zbl0762.94001MR1122806
  6. J. Kelly, A new interpretation of information rate, Bell System Tech. J. 35 (1956), 917-926. (1956) MR0090494
  7. H. A. Latane, Criteria for choice among risky ventures, Political Economy 38 (1959), 145-155. (1959) 
  8. G. Morvai, Empirical log-optimal portfolio selection, Problems Control Inform. Theory 20 (1991), 453-464. (1991) Zbl0752.90004MR1156460
  9. G. Morvai, Portfolio choice based on the empirical distribution, Kybernetika 25(1992), 484-493. (1992) Zbl0776.90009MR1204597
  10. J. Pfanzagl, On the measurability and consistency of minimum contrast estimators, Metrika U (1969), 249-272. (1969) 
  11. R. T. Rockafellar, Convex Analysis, Princeton Univ. Press, Princeton, N.J. 1970. (1970) Zbl0193.18401
  12. P. A. Samuelson, The 'fallacy' of maximizing the geometric mean in long sequences of investing or gambling, Proc. Nat. Acad. Sci. U.S.A. 68 (1971), 2493-2496. (1971) Zbl0226.62111MR0295739
  13. P. A. Samuelson, Why we should not make mean log of wealth big though years to act are long, Journal of Banking and Finance 3 (1979), 305-307. (1979) 
  14. S. van deGeer, The method of sieves and minimum contrast estimators, 20th European Meeting of Statisticians, Programme & Abstracts, University of Bath, September 1992, p. 243. (1992) 

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