On the history of the growth-optimal portfolio

MaRDI QIDQ2888929zbMATH OpenFDO

Authors Morten Mosegaard Christensen

Publication date 4 June 2012

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

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)

Recommendations

• No Arbitrage and the Growth Optimal Portfolio
• A tractable model for indices approximating the growth optimal portfolio
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Cited in

(9)

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

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