On the history of the growth-optimal portfolio

zbMATH Open1239.91143MaRDI QIDQ2888929FDOQ2888929

Authors: Morten Mosegaard Christensen 

Publication date: 4 June 2012

Full work available at URL: http://ebooks.worldscinet.com/ISBN/9781848168145/9781848168145_0001.html

Recommendations

• No Arbitrage and the Growth Optimal Portfolio
• A tractable model for indices approximating the growth optimal portfolio
• A BENCHMARK APPROACH TO FINANCE
• Growth optimal portfolio for unobservable Markov-modulated markets
• CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH

Mathematics Subject Classification ID

Portfolio theory (91G10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Financial applications of other theories (91G80)

Cited In (9)

• Growth-optimal portfolio selection with short selling and leverage
• Growth optimal portfolio for unobservable Markov-modulated markets
• No Arbitrage and the Growth Optimal Portfolio
• A tractable model for indices approximating the growth optimal portfolio
• CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH
• Outperformance and tracking: dynamic asset allocation for active and passive portfolio management
• Multi-period portfolio optimization: translation of autocorrelation risk to excess variance
• Approximating the growth optimal portfolio and stock price bubbles
• A BENCHMARK APPROACH TO FINANCE

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