scientific article; zbMATH DE number 513099

MaRDI QIDQ4281792zbMATH OpenFDO

Authors Igor Vajda, Ferdinand Österreicher

Publication date 10 March 1994

Full work available at URL https://eudml.org/doc/27713, http://www.kybernetika.cz/content/1993/2/105

zbMATH Keywords

log optimal investment portfoliostock market

Mathematics Subject Classification ID

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Cites work

• An algorithm for maximizing expected log investment return
• Convex Analysis
• Distribution estimation consistent in total variation and in two types of information divergence
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• scientific article; zbMATH DE number 107482 (Why is no real title available?)
• scientific article; zbMATH DE number 269311 (Why is no real title available?)
• On the measurability and consistency of minimum contrast estimates
• The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling
• Universal Portfolios

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(15)

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• A complete explicit solution to the log-optimal portfolio problem.
• Some limit theorems for the log-optimal portfolio
• A note on prediction for discrete time series
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• MONOTONICITY PROPERTIES OF OPTIMAL INVESTMENT STRATEGIES FOR LOG-BROWNIAN ASSET PRICES
• Game-Theoretic Optimal Portfolios
• scientific article; zbMATH DE number 718747 (Why is no real title available?)
• On formation of security portfolio with uniform distribution by logarithmic criterion and priority risk component
• Portfolio choice based on empirical distribution
• scientific article; zbMATH DE number 1861571 (Why is no real title available?)
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• Log-optimal portfolio without NFLVR: existence, complete characterization, and duality
• Limit theorems for log-optimal portfolio
• A sufficient condition for a riskless distribution of investments

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