Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
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Publication:5452375
DOI10.1016/0304-405X(74)90009-9zbMATH Open1131.91345MaRDI QIDQ5452375FDOQ5452375
Authors: Robert C. Merton, Paul A. Samuelson 
Publication date: 3 April 2008
Published in: Journal of Financial Economics (Search for Journal in Brave)
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- Analysis of the rebalancing frequency in log-optimal portfolio selection
- Intergenerational risk sharing in closing pension funds
- A negative report on the ‘near optimality’ of the max-expected-log policy as applied to bounded utilities for long lived programs
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