Empirical log-optimal portfolio selection

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

It is shown that the empirical log optimal portfolio performs asymptotically under certain conditions as well as the optimal one. an example is given of arandom stock market, discussing value of one unit investment in stock at the end of the trading day.

Original languageEnglish
Pages (from-to)459-469
Number of pages11
JournalProblems of control and information theory
Volume20
Issue number6
Publication statusPublished - Dec 1 1991

ASJC Scopus subject areas

  • Engineering(all)

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