Limit theorems for log-optimal portfolio

MaRDI QIDQ5452857zbMATH OpenFDO

Authors Zhenhua Bao, Zhongxing Ye, Weiguo Yang

Publication date 4 April 2008

zbMATH Keywords

limit theoremslog-optimal portfolio*-mixing sequence

Mathematics Subject Classification ID

Strong limit theorems (60F15)

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Cited in

(16)

• scientific article; zbMATH DE number 1861571 (Why is no real title available?)
• STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
• Statistical properties of estimators for the log-optimal portfolio
• Game-Theoretic Optimal Portfolios
• Limit theorems for stochastic vector-valued sequences and their applications
• Log-optimal and numéraire portfolios for market models stopped at a random time
• MONOTONICITY PROPERTIES OF OPTIMAL INVESTMENT STRATEGIES FOR LOG-BROWNIAN ASSET PRICES
• Optimal portfolios for logarithmic utility.
• A note on log-optimal portfolios in exponential Lévy markets
• On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• scientific article; zbMATH DE number 718747 (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
• Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
• Some limit theorems for the log-optimal portfolio
• Optimal portfolios based on weakly dependent data

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