Statistical analysis and applications of log-optimal investments
نویسندگان
چکیده
Known facts about the existence and uniqueness of the log-optimal investment portfolio are presented in a simpler and more complete form than in previous publications. Five examples illustrate the problems around its existence and uniqueness and provide an intuitive insight into mathematical properties of the log-optimal portfolio and the associated optimal doubling rate.
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عنوان ژورنال:
- Kybernetika
دوره 30 شماره
صفحات -
تاریخ انتشار 1994