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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Publication:5452377
DOI10.1016/0304-405X(74)90011-7zbMATH Open1131.91337MaRDI QIDQ5452377FDOQ5452377
Authors: M. Barry Goldman 
Publication date: 3 April 2008
Published in: Journal of Financial Economics (Search for Journal in Brave)
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- On asymptotically optimal investment with rank dependent expected utility criterion
- The evolution of portfolio rules and the capital asset pricing model
- A preference foundation for log mean-variance criteria in portfolio choice problems
- Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
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