scientific article; zbMATH DE number 269311

zbMATH Open0776.90009MaRDI QIDQ5288318FDOQ5288318

Authors: Gusztáv Morvai 

Publication date: 20 September 1993

Full work available at URL: https://eudml.org/doc/28507

Title of this publication is not available (Why is that?)

Recommendations

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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• Title not available (Why is that?)
• Universal Portfolios
• A bound on the financial value of information
• Law of Large Numbers for Random Sets and Allocation Processes
• Epi‐consistency of convex stochastic programs
• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• Game-Theoretic Optimal Portfolios
• Title not available (Why is that?)
• An algorithm for maximizing expected log investment return
• Constrained estimation: Consistency and asymptotics
• Investment policies for expanding businesses optimal in a long‐run sense
• Optimal strategies for repeated games
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Cited In (17)

• KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES
• An asymptotic analysis of the mean-variance portfolio selection
• Optimal portfolio choice: a minimum expected loss approach
• Relative utility bounds for empirically optimal portfolios
• Title not available (Why is that?)
• Empirical Bayes stock market portfolios
• Title not available (Why is that?)
• Quantitative portfolio selection: using density forecasting to find consistent portfolios
• Title not available (Why is that?)
• 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
• A prediction of growth rate by non-mean-square error criterion functions
• Present value based portfolio choice

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