Portfolio choice based on the empirical distribution

Gusztáv Morvai

Kybernetika (1992)

  • Volume: 28, Issue: 6, page 484-493
  • ISSN: 0023-5954

How to cite

top

Morvai, Gusztáv. "Portfolio choice based on the empirical distribution." Kybernetika 28.6 (1992): 484-493. <http://eudml.org/doc/28507>.

@article{Morvai1992,
author = {Morvai, Gusztáv},
journal = {Kybernetika},
keywords = {empirical log-optimal portfolio selector; asymptotically optimal growth rate of capital; stock market},
language = {eng},
number = {6},
pages = {484-493},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Portfolio choice based on the empirical distribution},
url = {http://eudml.org/doc/28507},
volume = {28},
year = {1992},
}

TY - JOUR
AU - Morvai, Gusztáv
TI - Portfolio choice based on the empirical distribution
JO - Kybernetika
PY - 1992
PB - Institute of Information Theory and Automation AS CR
VL - 28
IS - 6
SP - 484
EP - 493
LA - eng
KW - empirical log-optimal portfolio selector; asymptotically optimal growth rate of capital; stock market
UR - http://eudml.org/doc/28507
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. Z.Artstein, S. Hart, Law of large numbers for random sets and allocation processes, Math. Oper. Res. 6 (1981), 485-492. (1981) Zbl0524.28015MR0703091
  3. A. R. Barron, T. M. Cover, A bound on the financial value of information, IEEE Trans. Inform. Theory IT-34 (1988), 1097-1100. (1988) Zbl0662.90023MR0982823
  4. R. Bell, T.M. Cover, Game-theoretic optimal portfolios, Management Sci. 34 (1988), 724-733. (1988) Zbl0649.90014MR0943277
  5. L. Breiman, Investment policies for expanding businesses optimal in a long-run sense, Naval Res. 
  6. L. Breiman, Optimal gambling systems for favorable games, In: Fourth Berkeley Symposium on Mathematical Statistics and Probability, University of California Press, Berkeley, CA 1961, pp. 65-78. (1961) Zbl0109.36803MR0135630
  7. T. M. Cover, An algorithm for maximizing expected long investment return, IEEE Trans. Infrom. Theory IT-30 (1984), 369-373. (1984) MR0754868
  8. T. M. Cover, Universal portfolios, Math. Finance 1 (1991), 1-29. (1991) Zbl0900.90052MR1113417
  9. T. M. Cover, J. A. Thomas, Elements of Information Theory, Wiley, New York 1991. (1991) Zbl0762.94001MR1122806
  10. M. Finkelstein, R. Whitley, Optimal strategies for repeated games, Adv. Appl. Probab. 13 (1981), 415-428. (1981) Zbl0456.90100MR0612212
  11. J. Kelly, A new interpretation of information rate, Bell Sys. Tech. J. 35 (1956), 917-926. (1956) MR0090494
  12. A.J. King, R.J.-B. Wets, Epi-consistency of convex stochastic programs, Stochastics Rep. 34 (1991), 83-92. (1991) Zbl0733.90049MR1104423
  13. G. Morvai, Empirical log-optimal portfolio selection, Problems Control Inform. Theory 20 (1991), 453-463. (1991) Zbl0752.90004MR1156460
  14. R.T. Rockafellar, Integral functionals, normal integrands and measurable selections, In: Nonlinear Operators and the Calculus of Variations (Gossez, ed., Lecture Notes in Mathematics). Springer- Verlag, Berlin - Heidelberg - New York 1976, pp. 157-207. (1976) Zbl0374.49001MR0512209
  15. R.J.-B. Wets, Constrained estimation: consistency and asymptotics, Appl. Stochastic Models Data Anal. 7 (1991), 17-32. (1991) Zbl0800.62187MR1105870

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.