A preference foundation for log mean-variance criteria in portfolio choice problems
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Publication:690178
Recommendations
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- Portfolio Theory for Independent Assets
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Cites work
- A negative report on the ‘near optimality’ of the max-expected-log policy as applied to bounded utilities for long lived programs
- Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
- Competitive Optimality of Logarithmic Investment
- Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
- scientific article; zbMATH DE number 3852087 (Why is no real title available?)
- scientific article; zbMATH DE number 3179081 (Why is no real title available?)
- scientific article; zbMATH DE number 3278887 (Why is no real title available?)
- scientific article; zbMATH DE number 3422145 (Why is no real title available?)
- The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
- The General Form of the So-Called Law of the Iterated Logarithm
- The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling
Cited in
(26)- Present value based portfolio choice
- An appreciation of Professor David G. Luenberger
- Arbitrage and universal pricing.
- Stocks for the log-run and constant relative risk aversion preferences
- Numéraire-invariant preferences in financial modeling
- Mean-variance efficiency of optimal power and logarithmic utility portfolios
- Market selection of constant proportions investment strategies in continuous time
- The evolution of portfolio rules and the capital asset pricing model
- Comparing financial investments by their state dependent returns: A one-way log utility representation
- Note—The Mean-Coefficient-of-Variation Rule: The Lognormal Case
- PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES
- Generalized concavity of a function in portfolio theory
- Using the Kelly criterion for investing
- On formation of security portfolio with uniform distribution by logarithmic criterion and priority risk component
- Alternative optimality criteria of portfolio selection based upon threshold stopping rule
- Generalised mean-risk preferences
- Analysis of the rebalancing frequency in log-optimal portfolio selection
- The regime switching portfolios
- Constant rebalanced portfolio optimization under nonlinear transaction costs
- Log mean-variance portfolio selection under regime switching
- Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
- Peer effect and dynamic ALM games among insurers
- Mean variance preferences and the heat equation
- A numerical evaluation of meta-heuristic techniques in portfolio optimisation
- Mean-variance utility
- Markets do not select for a liquidity preference as behavior towards risk
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