Growth-optimal portfolio selection with short selling and leverage

MaRDI QIDQ2888933zbMATH OpenFDO

Authors Márk Horváth, András Urbán

Publication date 4 June 2012

Full work available at URL http://ebooks.worldscinet.com/ISBN/9781848168145/9781848168145_0004.html

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Recommendations

• Empirical log-optimal portfolio selections: a survey
• GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS
• On the history of the growth-optimal portfolio
• Log-optimal portfolio-selection strategies with proportional transaction costs
• Dynamic optimal capital growth of diversified investment

Cited in

(4)

• Robust long-term growth rate of expected utility for leveraged ETFs
• Portfolio leverage in asset allocation problems
• Approximating the growth optimal portfolio and stock price bubbles
• Growth-oriented portfolio selection based on stochastic holding periods

This page was built for publication: Growth-optimal portfolio selection with short selling and leverage

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2888933)