| Title:
|
Existence, uniqueness and evaluation of log-optimal investment portfolio (English) |
| Author:
|
Vajda, Igor |
| Author:
|
Österreicher, Ferdinand |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
29 |
| Issue:
|
2 |
| Year:
|
1993 |
| Pages:
|
105-120 |
| . |
| Category:
|
math |
| . |
| MSC:
|
90A09 |
| MSC:
|
90D40 |
| MSC:
|
91B28 |
| idZBL:
|
Zbl 0799.90013 |
| idMR:
|
MR1227745 |
| . |
| Date available:
|
2009-09-24T18:38:55Z |
| Last updated:
|
2012-06-06 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/124558 |
| . |
| Reference:
|
[1] A. R. Barron L. Gyorfi, E. van der Meulen: Distribution estimation consistent in total variation and in two types of information divergence.IEEE Trans. Inform. Theory 38 (1992), 1437-1454. MR 1178189 |
| Reference:
|
[2] L. Breiman: Optimal gambling systems for favouralbe games.In: Fourth Berkeley Symp. Math. Statist. Probab., Vol. I, Univ. Calif. Press, Berkeley 1961, pp. 65-78. MR 0135630 |
| Reference:
|
[3] T. M. Cover: An algorithm for maximizing expected log investment return.IEEE Trans. Inform. Theory 30 (1984), 369-373. Zbl 0541.90007, MR 0754868 |
| Reference:
|
[4] T. M. Cover: Universal portfolios.Mathematical Finance 16 (1991), 876-898. Zbl 0900.90052, MR 1113417 |
| Reference:
|
[5] T. M. Cover, J. A. Thomas: Elements of Information Theory.Wiley, New York 1991. Zbl 0762.94001, MR 1122806 |
| Reference:
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[6] J. Kelly: A new interpretation of information rate.Bell System Tech. J. 35 (1956), 917-926. MR 0090494 |
| Reference:
|
[7] H. A. Latane: Criteria for choice among risky ventures.Political Economy 38 (1959), 145-155. |
| Reference:
|
[8] G. Morvai: Empirical log-optimal portfolio selection.Problems Control Inform. Theory 20 (1991), 453-464. Zbl 0752.90004, MR 1156460 |
| Reference:
|
[9] G. Morvai: Portfolio choice based on the empirical distribution.Kybernetika 25(1992), 484-493. Zbl 0776.90009, MR 1204597 |
| Reference:
|
[10] J. Pfanzagl: On the measurability and consistency of minimum contrast estimators.Metrika U (1969), 249-272. |
| Reference:
|
[11] R. T. Rockafellar: Convex Analysis.Princeton Univ. Press, Princeton, N.J. 1970. Zbl 0193.18401 |
| Reference:
|
[12] P. A. Samuelson: The 'fallacy' of maximizing the geometric mean in long sequences of investing or gambling.Proc. Nat. Acad. Sci. U.S.A. 68 (1971), 2493-2496. Zbl 0226.62111, MR 0295739 |
| Reference:
|
[13] P. A. Samuelson: Why we should not make mean log of wealth big though years to act are long.Journal of Banking and Finance 3 (1979), 305-307. |
| Reference:
|
[14] S. van deGeer: The method of sieves and minimum contrast estimators.20th European Meeting of Statisticians, Programme & Abstracts, University of Bath, September 1992, p. 243. |
| . |
