| Title:
|
Statistical analysis and applications of log-optimal investments (English) |
| Author:
|
Vajda, Igor |
| Author:
|
Österreicher, Ferdinand |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
30 |
| Issue:
|
3 |
| Year:
|
1994 |
| Pages:
|
331-342 |
| . |
| Category:
|
math |
| . |
| MSC:
|
90A19 |
| MSC:
|
91B28 |
| idZBL:
|
Zbl 0818.90011 |
| idMR:
|
MR1291935 |
| . |
| Date available:
|
2009-09-24T18:48:07Z |
| Last updated:
|
2012-06-06 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/125167 |
| . |
| Reference:
|
[1] A. H. Algoet, T. M. Cover: Asymptotic optimality and asymptotic equipartition properties of log-optimum investment.Ann. Probab. 16 (1988), 876-898. MR 0929084 |
| Reference:
|
[2] T. M. Cover: Universal portfolios.Math. Finance 1 (1991), 1-29. Zbl 0900.90052, MR 1113417 |
| Reference:
|
[3] T. M. Cover, J. A. Thomas: Elements of Information Theory.Wiley, New York 1991. Zbl 0762.94001, MR 1122806 |
| Reference:
|
[4] E. J. Elton, M. J. Gruber: Modern Portfolio Theory and Investment Analysis.Wiley, New York 1991. |
| Reference:
|
[5] H. M. Markowitz: Portfolio selection.J. Finance 7 (1952), 77-91. |
| Reference:
|
[6] G. Morvai, I. Vajda: A survey on log-optimum portfolio selection.In: Proceedings of Second European Congress on System Science, Vol. 3. Czech Society for Cybernetics and Informatics, Prague 1993 (in print). |
| Reference:
|
[7] I. Vajda, F. Österreicher: Existence, uniqueness and evaluation of log-optimal investment portfolio.Kybernetika 22 (1993), 105-120. MR 1227745 |
| . |
