Game-Theoretic Optimal Portfolios

Game-Theoretic Optimal Portfolios

We show, for a wide variety of payoff functions, that the expected log optimal portfolio is also game theoretically optimal in a single play or in multiple plays of the stock market. Thus there is no essential conflict between good short-term and long-run performance. Both are achieved by maximizing...

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Bibliographische Detailangaben
Veröffentlicht in:Management Science. - Institute for Operations Research and the Management Sciences, 1954. - 34(1988), 6, Seite 724-733
1. Verfasser: Bell, Robert (VerfasserIn)
Weitere Verfasser: Cover, Thomas M.
Format: Online-Aufsatz
Sprache:English
Veröffentlicht: 1988
Zugriff auf das übergeordnete Werk:Management Science
Schlagworte:Portfolio Game Theory Log Investment Mathematics Economics Business
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952 |d 34  |j 1988  |e 6  |h 724-733