Limit theorems for log-optimal portfolio

zbMATH Open1174.91377MaRDI QIDQ5452857FDOQ5452857

Authors: Zhenhua Bao, Zhongxing Ye, Weiguo Yang 

Publication date: 4 April 2008

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zbMATH Keywords

limit theoremslog-optimal portfolio*-mixing sequence

Mathematics Subject Classification ID

Strong limit theorems (60F15)

Cited In (16)

• Some limit theorems for the log-optimal portfolio
• Optimal portfolios based on weakly dependent data
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal portfolios for logarithmic utility.
• A note on log-optimal portfolios in exponential Lévy markets
• Log-optimal and numéraire portfolios for market models stopped at a random time
• Game-Theoretic Optimal Portfolios
• When Should We be Prepared to Improve a Portfolio by Lacklustre Stocks? — A Note on Log-Optimal Portfolio Selection
• MONOTONICITY PROPERTIES OF OPTIMAL INVESTMENT STRATEGIES FOR LOG-BROWNIAN ASSET PRICES
• STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
• Limit theorems for stochastic vector-valued sequences and their applications
• Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
• Statistical properties of estimators for the log-optimal portfolio
• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation

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