Portfolio choice based on the empirical distribution
Kybernetika, Tome 28 (1992) no. 6, pp. 484-493 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

Voir la notice de l'article

Classification : 90A09, 91B28
@article{KYB_1992_28_6_a4,
     author = {Morvai, Guszt\'av},
     title = {Portfolio choice based on the empirical distribution},
     journal = {Kybernetika},
     pages = {484--493},
     year = {1992},
     volume = {28},
     number = {6},
     mrnumber = {1204597},
     zbl = {0776.90009},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_1992_28_6_a4/}
}
TY  - JOUR
AU  - Morvai, Gusztáv
TI  - Portfolio choice based on the empirical distribution
JO  - Kybernetika
PY  - 1992
SP  - 484
EP  - 493
VL  - 28
IS  - 6
UR  - http://geodesic.mathdoc.fr/item/KYB_1992_28_6_a4/
LA  - en
ID  - KYB_1992_28_6_a4
ER  - 
%0 Journal Article
%A Morvai, Gusztáv
%T Portfolio choice based on the empirical distribution
%J Kybernetika
%D 1992
%P 484-493
%V 28
%N 6
%U http://geodesic.mathdoc.fr/item/KYB_1992_28_6_a4/
%G en
%F KYB_1992_28_6_a4
Morvai, Gusztáv. Portfolio choice based on the empirical distribution. Kybernetika, Tome 28 (1992) no. 6, pp. 484-493. http://geodesic.mathdoc.fr/item/KYB_1992_28_6_a4/

[1] A.H.Algoet, T.M. Cover: Asymptotic optimality and asymptotic equipartition properties of log-optimum investment. Ann. Probab. 16 (1988), 876-898. | MR

[2] Z.Artstein, S. Hart: Law of large numbers for random sets and allocation processes. Math. Oper. Res. 6 (1981), 485-492. | MR | Zbl

[3] A. R. Barron, T. M. Cover: A bound on the financial value of information. IEEE Trans. Inform. Theory IT-34 (1988), 1097-1100. | MR | Zbl

[4] R. Bell, T.M. Cover: Game-theoretic optimal portfolios. Management Sci. 34 (1988), 724-733. | MR | Zbl

[5] L. Breiman: Investment policies for expanding businesses optimal in a long-run sense. Naval Res.

[6] L. Breiman: Optimal gambling systems for favorable games. In: Fourth Berkeley Symposium on Mathematical Statistics and Probability, University of California Press, Berkeley, CA 1961, pp. 65-78. | MR | Zbl

[7] T. M. Cover: An algorithm for maximizing expected long investment return. IEEE Trans. Infrom. Theory IT-30 (1984), 369-373. | MR

[8] T. M. Cover: Universal portfolios. Math. Finance 1 (1991), 1-29. | MR | Zbl

[9] T. M. Cover, J. A. Thomas: Elements of Information Theory. Wiley, New York 1991. | MR | Zbl

[10] M. Finkelstein, R. Whitley: Optimal strategies for repeated games. Adv. Appl. Probab. 13 (1981), 415-428. | MR | Zbl

[11] J. Kelly: A new interpretation of information rate. Bell Sys. Tech. J. 35 (1956), 917-926. | MR

[12] A.J. King, R.J.-B. Wets: Epi-consistency of convex stochastic programs. Stochastics Rep. 34 (1991), 83-92. | MR | Zbl

[13] G. Morvai: Empirical log-optimal portfolio selection. Problems Control Inform. Theory 20 (1991), 453-463. | MR | Zbl

[14] R.T. Rockafellar: Integral functionals, normal integrands and measurable selections. In: Nonlinear Operators and the Calculus of Variations (Gossez, ed., Lecture Notes in Mathematics). Springer- Verlag, Berlin - Heidelberg - New York 1976, pp. 157-207. | MR | Zbl

[15] R.J.-B. Wets: Constrained estimation: consistency and asymptotics. Appl. Stochastic Models Data Anal. 7 (1991), 17-32. | MR | Zbl