When Should We be Prepared to Improve a Portfolio by Lacklustre Stocks? — A Note on Log-Optimal Portfolio Selection

DOI10.1142/S0219024903002134zbMath1070.91028MaRDI QIDQ4812331

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Publication date: 7 September 2004

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

dimension reduction; log-normal return distributions; log-optimal portfolio selection

Mathematics Subject Classification ID

91G10: Portfolio theory

Related Items

KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES

Cites Work

• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• An algorithm for maximizing expected log investment return
• Probability with Martingales
• Unnamed Item