High-risk and competitive investment models

DOI10.1214/aoap/1037125860zbMath1005.60054OpenAlexW2071729058MaRDI QIDQ1854797

F. Thomas Bruss, Thomas S. Ferguson

Publication date: 27 January 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1037125860

zbMATH Keywords

utility functionsinvestment opportunitiesPascal arrival processesvery best opportunity

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Resource and cost allocation (including fair division, apportionment, etc.) (91B32)

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Cites Work

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• Pascal processes and their characterization
• The infinite secretary problem
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• Coherent Measures of Risk
• The proportional bettor's return on investment
• On an optimal selection problem of Cowan and Zabczyk
• Competitive Optimality of Logarithmic Investment
• Portfolio choice and the Bayesian Kelly criterion
• Universal Portfolios
• Optimal strategies in a risk selection investment model

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