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...
| Publié dans: | Management Science. - INFORMS, 1954. - 34(1988), 6, Seite 724-733 |
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| Auteur principal: | |
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| Format: | Article en ligne |
| Langue: | English |
| Publié: |
1988
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| Accès à la collection: | Management Science |
| Sujets: | Portfolio Game Theory Log Investment Mathematics Economics Business |
| Accès en ligne |
Volltext |