Statistical analysis and applications of log-optimal investments

Igor Vajda; Ferdinand Österreicher

Kybernetika (1994)

  • Volume: 30, Issue: 3, page 331-342
  • ISSN: 0023-5954

How to cite

top

Vajda, Igor, and Österreicher, Ferdinand. "Statistical analysis and applications of log-optimal investments." Kybernetika 30.3 (1994): 331-342. <http://eudml.org/doc/28322>.

@article{Vajda1994,
author = {Vajda, Igor, Österreicher, Ferdinand},
journal = {Kybernetika},
keywords = {log-optimal investment portfolio; log-optimal portfolio; optimal doubling rate},
language = {eng},
number = {3},
pages = {331-342},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Statistical analysis and applications of log-optimal investments},
url = {http://eudml.org/doc/28322},
volume = {30},
year = {1994},
}

TY - JOUR
AU - Vajda, Igor
AU - Österreicher, Ferdinand
TI - Statistical analysis and applications of log-optimal investments
JO - Kybernetika
PY - 1994
PB - Institute of Information Theory and Automation AS CR
VL - 30
IS - 3
SP - 331
EP - 342
LA - eng
KW - log-optimal investment portfolio; log-optimal portfolio; optimal doubling rate
UR - http://eudml.org/doc/28322
ER -

References

top
  1. A. H. Algoet, T. M. Cover, Asymptotic optimality and asymptotic equipartition properties of log-optimum investment, Ann. Probab. 16 (1988), 876-898. (1988) MR0929084
  2. T. M. Cover, Universal portfolios, Math. Finance 1 (1991), 1-29. (1991) Zbl0900.90052MR1113417
  3. T. M. Cover, J. A. Thomas, Elements of Information Theory, Wiley, New York 1991. (1991) Zbl0762.94001MR1122806
  4. E. J. Elton, M. J. Gruber, Modern Portfolio Theory and Investment Analysis, Wiley, New York 1991. (1991) 
  5. H. M. Markowitz, Portfolio selection, J. Finance 7 (1952), 77-91. (1952) 
  6. G. Morvai, I. Vajda, A survey on log-optimum portfolio selection, In: Proceedings of Second European Congress on System Science, Vol. 3. Czech Society for Cybernetics and Informatics, Prague 1993 (in print). (1993) 
  7. I. Vajda, F. Österreicher, Existence, uniqueness and evaluation of log-optimal investment portfolio, Kybernetika 22 (1993), 105-120. (1993) MR1227745

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

                
Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.