When Should We be Prepared to Improve a Portfolio by Lacklustre Stocks? — A Note on Log-Optimal Portfolio Selection

DOI10.1142/S0219024903002134zbMATH Open1070.91028MaRDI QIDQ4812331FDOQ4812331

Authors:

Publication date: 7 September 2004

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

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zbMATH Keywords

dimension reductionlog-normal return distributionslog-optimal portfolio selection

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Probability with Martingales
• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• An algorithm for maximizing expected log investment return
• Title not available (Why is that?)

Cited In (5)

• KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES
• The Stock Selection Guide and some improvements of it
• An algorithm for maximizing expected log investment return
• Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
• On the structure of multifactor optimal portfolio strategies

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