Competitive Optimality of Logarithmic Investment

portfolio selection optimal policy two-person zero-sum game competitive optimality asymptotic rate of return logarithmic investment random investment policies two investors

Mathematics Subject Classification ID

2-person games (91A05) Other game-theoretic models (91A40) Operations research and management science (90B99)

Cited In (35)

Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
Some Aspects of Information Theory in Gambling and Economics
Allocation games with caps: from Captain Lotto to all-pay auctions
Non-symmetric discrete General Lotto games
Asymptotic Theory of Information-Theoretic Experimental Design
An approach to simple bargaining games and related problems
Using the Kelly criterion for investing
Uniqueness of optimal strategies in Captain Lotto games
The asset market game
Persuasion with ambiguous receiver preferences
Online portfolio selection: a survey
The multiplayer Colonel Blotto game
Constant rebalanced portfolios and side-information
On asymptotic log-optimal portfolio optimization
Empirical Bayes stock market portfolios
Tail risk constraints and maximum entropy
Game-theoretic optimal portfolios for jump diffusions
Exact minimax estimation of the predictive density in sparse Gaussian models
Nash equilibrium strategies and survival portfolio rules in evolutionary models of asset markets
Jarzynski-type equalities in gambling: role of information in capital growth
From duels to battlefields: computing equilibria of Blotto and other games
Investment strategies in the long run with proportional transaction costs and a HARA utility function
A preference foundation for log mean-variance criteria in portfolio choice problems
Asset market games of survival: a synthesis of evolutionary and dynamic games
Discrete Colonel Blotto and general lotto games
High-risk and competitive investment models
Online Portfolio Optimization with Risk Control
Adaptive bet-hedging revisited: considerations of risk and time horizon
Performance of investment strategies in the absence of correct beliefs
Almost sure Nash equilibrium strategies in evolutionary models of asset markets
Economic Darwinism: Who has the best probabilities?
Statistical properties of estimators for the log-optimal portfolio
Log-optimal investment in the long run with proportional transaction costs when using shadow prices.
High dimensional Markovian trading of a single stock
Generalizations of the General Lotto and Colonel Blotto games

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