Analysis of semi-log-optimal investment strategies
نویسنده
چکیده
Abstract: We introduce a sequential investment strategy, called semi-log-optimal strategy. This strategy is related to the log-optimal portfolio approach, where instead of logarithmic objective function its Taylor series approximation is used. The asymptotic rate of growth is analyzed under the only assumption that the market is stationary and ergodic. The performance of the strategy is compared to the optimal asymptotic rate of growth provided by the log-optimal strategy. Bound on the deviation of the performances is shown. The advantage of our semilog-optimal portfolio approach is that it performs very close to the log-optimal strategy, meanwhile it allows a simpler and more ”standardized” computation of the corresponding portfolio vector.
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