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Kybernetika 30(3):331-342, 1994.

Statistical Analysis and Applications of Log-Optimal Investments

Igor Vajda and Ferdinand Österreicher


Abstract:

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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BIB TeX

@article{kyb:1994:3:331-342,

author = {Vajda, Igor and \"{O}sterreicher, Ferdinand},

title = {Statistical Analysis and Applications of Log-Optimal Investments},

journal = {Kybernetika},

volume = {30},

year = {1994},

number = {3},

pages = {331-342}

publisher = {{\'U}TIA, AV {\v C}R, Prague },

}


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