Game-Theoretic Optimal Portfolios
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Publication:3795445
DOI10.1287/MNSC.34.6.724zbMATH Open0649.90014OpenAlexW2145795825MaRDI QIDQ3795445FDOQ3795445
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
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- Some Aspects of Information Theory in Gambling and Economics
- Multi-Portfolio Optimization: A Potential Game Approach
- On different aspects of portfolio optimization
- An approach to simple bargaining games and related problems
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- Log-optimal investment in the long run with proportional transaction costs when using shadow prices
- Stochastic differential portfolio games
- Portfolio risk minimization and differential games
- Game-theoretic optimal portfolios for jump diffusions
- Portfolio theory, information theory and Tsallis statistics
- 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
- On the existence of powerful p-values and e-values for composite hypotheses
- Almost sure Nash equilibrium strategies in evolutionary models of asset markets
- A quantile game for portfolio construction in the Ornstein-Uhlenbeck model
- Portfolio decisions as games
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