Game-Theoretic Optimal Portfolios

DOI10.1287/MNSC.34.6.724MaRDI QIDQ3795445zbMATH OpenOpenAlexFDO

Authors Robert M. Bell, Thomas M. Cover

Publication date 1988

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/4fad96404d5a2dcc88a84c4bd12ad11db43c5cb3

zbMATH Keywords

expected log optimal portfoliogame-theoretic optimal portfolios

Mathematics Subject Classification ID

Other game-theoretic models (91A40)

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(28)

• St. Petersburg portfolio games
• Some Aspects of Information Theory in Gambling and Economics
• Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
• Multi-Portfolio Optimization: A Potential Game Approach
• An approach to simple bargaining games and related problems
• On different aspects of portfolio optimization
• scientific article; zbMATH DE number 1861571 (Why is no real title available?)
• scientific article; zbMATH DE number 269311 (Why is no real title available?)
• Portfolio risk minimization and differential games
• Stochastic differential portfolio games
• Game-theoretic optimal portfolios for jump diffusions
• Portfolio theory, information theory and Tsallis statistics
• Relative growth optimal strategies in an asset market game
• Nash equilibrium strategies and survival portfolio rules in evolutionary models of asset markets
• Mixed strategy and information theory in optimal portfolio choice
• The Shapley value decomposition of optimal portfolios
• Investment strategies in the long run with proportional transaction costs and a HARA utility function
• Asset market games of survival: a synthesis of evolutionary and dynamic games
• The game-theoretic capital asset pricing model
• Online Portfolio Optimization with Risk Control
• Adaptive bet-hedging revisited: considerations of risk and time horizon
• Lose oneself in comparison: an investment and consumption game between two agents
• Performance of investment strategies in the absence of correct beliefs
• Almost sure Nash equilibrium strategies in evolutionary models of asset markets
• On the existence of powerful p-values and e-values for composite hypotheses
• A quantile game for portfolio construction in the Ornstein-Uhlenbeck model
• Log-optimal investment in the long run with proportional transaction costs when using shadow prices.
• Portfolio decisions as games

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