scientific article; zbMATH DE number 269311

MaRDI QIDQ5288318zbMATH OpenFDO

Authors Gusztáv Morvai

Publication date 20 September 1993

Full work available at URL https://eudml.org/doc/28507, http://www.kybernetika.cz/content/1992/6/484

zbMATH Keywords

stock marketasymptotically optimal growth rate of capitalempirical log-optimal portfolio selector

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Portfolio choice based on empirical distribution
• Universal Portfolios
• Empirical log-optimal portfolio selections: a survey
• Empirical Bayes stock market portfolios

Cites work

• scientific article; zbMATH DE number 3179081 (Why is no real title available?)
• scientific article; zbMATH DE number 78502 (Why is no real title available?)
• scientific article; zbMATH DE number 107482 (Why is no real title available?)
• scientific article; zbMATH DE number 3582778 (Why is no real title available?)
• A bound on the financial value of information
• An algorithm for maximizing expected log investment return
• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• Constrained estimation: Consistency and asymptotics
• Epi‐consistency of convex stochastic programs
• Game-Theoretic Optimal Portfolios
• Investment policies for expanding businesses optimal in a long‐run sense
• Law of Large Numbers for Random Sets and Allocation Processes
• Optimal strategies for repeated games
• Universal Portfolios

Cited in

(17)

• KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES
• Optimal portfolio choice: a minimum expected loss approach
• An asymptotic analysis of the mean-variance portfolio selection
• Relative utility bounds for empirically optimal portfolios
• Empirical Bayes stock market portfolios
• scientific article; zbMATH DE number 5172407 (Why is no real title available?)
• scientific article; zbMATH DE number 1978894 (Why is no real title available?)
• Quantitative portfolio selection: using density forecasting to find consistent portfolios
• scientific article; zbMATH DE number 513099 (Why is no real title available?)
• When Should We be Prepared to Improve a Portfolio by Lacklustre Stocks? — A Note on Log-Optimal Portfolio Selection
• Portfolio choice based on empirical distribution
• Distributional properties of portfolio weights
• Empirical log-optimal portfolio selections: a survey
• Nonparametric nearest neighbor based empirical portfolio selection strategies
• Out-of-sample utility bounds for empirically optimal portfolios in a single-period investment problem
• Present value based portfolio choice
• A prediction of growth rate by non-mean-square error criterion functions

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