scientific article; zbMATH DE number 66189

zbMATH Open0744.62115MaRDI QIDQ4010795FDOQ4010795

Authors: Bertram M. Schreiber, Raoul Le Page 

Publication date: 27 September 1992

Title of this publication is not available (Why is that?)

Recommendations

• Logarithmic utility maximization in an exponential Lévy model
• STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
• An algorithm for maximizing expected log investment return
• Using logarithmic derivative functions for assessing the risky weighting function for binary gambles
• Randomized strategies and terminal distributions
• Bayesian logistic betting strategy against probability forecasting
• Proactive hedging European option pricing with a general logarithmic position strategy
• scientific article; zbMATH DE number 718747

zbMATH Keywords

martingaleKelly-Breiman principlemaximizing expectations of logarithmsminimum conditional entropy estimatorsnon-finite gamesrapidly convergent estimator sequencesrepeated independent plays with reinvestment of resources

Mathematics Subject Classification ID

Sequential estimation (62L12) Applications of game theory (91A80) Other game-theoretic models (91A40)

Cited In (2)

• A simple strategy of behavior in a stationary medium with exponential guaranteed convergence rate
• On optimum strategies for minimizing the exponential moments of a loss function

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4010795)