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

DOI10.1142/S0219024903002134MaRDI QIDQ4812331zbMATH OpenFDO

Authors

Publication date 7 September 2004

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

zbMATH Keywords

dimension reductionlog-normal return distributionslog-optimal portfolio selection

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 733515 (Why is no real title available?)
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• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• Probability with Martingales

Cited in

(5)

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

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