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...
| Veröffentlicht in: | Management Science. - Institute for Operations Research and the Management Sciences, 1954. - 34(1988), 6, Seite 724-733 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1988
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| Zugriff auf das übergeordnete Werk: | Management Science |
| Schlagworte: | Portfolio Game Theory Log Investment Mathematics Economics Business |
| Online verfügbar |
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