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Kybernetika 28(6):484-493, 1992.

Portfolio Choice Based on the Empirical Distribution

Gusztáv Morvai


Abstract:

It is shown that a slightly modified version of the empirical log-optimal portfolio selector achieves the asymptotically optimal growth rate of capital on independent and identically distributed random stock market return vectors.


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BIB TeX

@article{kyb:1992:6:484-493,

author = {Morvai, Guszt\'{a}v },

title = {Portfolio Choice Based on the Empirical Distribution},

journal = {Kybernetika},

volume = {28},

year = {1992},

number = {6},

pages = {484-493}

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

}


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