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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Détails bibliographiques
Publié dans:Management Science. - INFORMS, 1954. - 34(1988), 6, Seite 724-733
Auteur principal: Bell, Robert (Auteur)
Autres auteurs: Cover, Thomas M.
Format: Article en ligne
Langue:English
Publié: 1988
Accès à la collection:Management Science
Sujets:Portfolio Game Theory Log Investment Mathematics Economics Business
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