The return on investment from proportional portfolio strategies

DOI10.1239/aap/1035228001zbMath0904.90008OpenAlexW2135853605MaRDI QIDQ4391415

Sid Browne

Publication date: 19 January 1999

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/05247777bfbb0a6d011dc7edee316d0935cd3774

zbMATH Keywords

convergence in distributiondiffusionslimit theoremsstationary distributionslogarithmic utilitystochastic order relationsoptimal portfolio strategiesoptimal growth policydynamic asset allocation strategiesrate of return on investment

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Diffusion processes (60J60) Limit theorems in probability theory (60F99)

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Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\) ⋮ Unnamed Item ⋮ A note on constant proportion trading strategies ⋮ Globally evolutionarily stable portfolio rules ⋮ Investing for Retirement ⋮ FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES ⋮ On the non-equilibrium density of geometric mean reversion ⋮ Almost sure Nash equilibrium strategies in evolutionary models of asset markets ⋮ Market selection of constant proportions investment strategies in continuous time ⋮ Constant rebalanced portfolios and side-information ⋮ Option overlay strategies ⋮ Optimal investment decisions with a liability: the case of defined benefit pension plans ⋮ ON PORTFOLIO CHOICE BY MAXIMIZING THE OUTPERFORMANCE PROBABILITY ⋮ RISK SEEKING, NONCONVEX REMUNERATION AND REGIME SWITCHING

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