Empirical log-optimal portfolio selections: a survey
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Publication:2888931
zbMATH Open1239.91146MaRDI QIDQ2888931FDOQ2888931
Authors: László Györfi, György Ottucsàk, András Urbán 
Publication date: 4 June 2012
Full work available at URL: http://ebooks.worldscinet.com/ISBN/9781848168145/9781848168145_0002.html
Recommendations
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)
Cited In (20)
- Title not available (Why is that?)
- KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES
- Growth-optimal portfolio selection with short selling and leverage
- Optimal portfolios for logarithmic utility.
- An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs
- Relative utility bounds for empirically optimal portfolios
- On asymptotic log-optimal portfolio optimization
- Empirical Bayes stock market portfolios
- An empirical analysis on log-utility asset management
- Title not available (Why is that?)
- Portfolio choice based on empirical distribution
- STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
- Iterative nonparametric estimation of a log-optimal portfolio selection function
- NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES
- Nonparametric nearest neighbor based empirical portfolio selection strategies
- Statistical properties of estimators for the log-optimal portfolio
- High-Dimensional Portfolio Selection with Cardinality Constraints
- Growth Optimal Investment with Transaction Costs
- Log-optimal portfolios with memory effect
- Performance analysis of log-optimal portfolio strategies with transaction costs
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