haku: @indexterm PORTFOLIO INVESTMENT / yhteensä: 425
viite: 163 / 425
| Tekijä: | Bell, R. Cover, T. M. |
| Otsikko: | Game-theoretic optimal portfolios. |
| Lehti: | Management Science
1988 : JUN, VOL. 34:6, p. 724-733 |
| Asiasana: | PORTFOLIO INVESTMENT GAME THEORY |
| Kieli: | eng |
| Tiivistelmä: | Shown is, for a wide variety of payoff functions, that the expected log optimal portfolio is also game theoretically optimal in a single play or in multiple plays of the stock market. Thus there is no essential conflict between good short-term and long-run performance. Both are achieved by maximizing the conditional expected log return. The main concepts are: investor; stock collection; portfolio strategies; game theory randomization of the initial capital; allocation of the resulting capital; optimal strategies. |
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