Game-theoretic optimal portfolios in continuous time
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DOI: 10.1007/s40505-018-0156-5
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- Robert M. Bell & Thomas M. Cover, 1980. "Competitive Optimality of Logarithmic Investment," Mathematics of Operations Research, INFORMS, vol. 5(2), pages 161-166, May.
- Robert Bell & Thomas M. Cover, 1988. "Game-Theoretic Optimal Portfolios," Management Science, INFORMS, vol. 34(6), pages 724-733, June.
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More about this item
Keywords
Portfolio choice; Constant rebalanced portfolios; Continuous-time Kelly rule; Minimax;All these keywords.
JEL classification:
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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