Growth optimal investment in horse race markets with costs

DOI10.1109/18.887881MaRDI QIDQ4545815zbMATHOpenAlexFDO

Authors G. Iyengar, Thomas M. Cover

Publication date 2000

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/18.887881

zbMATH Keywords

proportional transaction costsgrowth optimalityuniversal investment

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cited in

(8)

• A mathematical analysis of an exchange-traded horse race betting fund with deterministic payoff betting strategy for institutional investment to challenge EMH
• An explicit solution to the problem of optimizing the allocations of a bettor's wealth when wagering on horse races
• Portfolio management without probabilities or statistics
• Von Neumann–Gale model, market frictions and capital growth
• UNIVERSAL INVESTMENT IN MARKETS WITH TRANSACTION COSTS
• Online portfolio selection: a survey
• Growth Optimal Investment with Transaction Costs
• The value of information for populations in varying environments

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