Geodesic
Statistical analysis and applications of log-optimal investments
Kybernetika, Tome 30 (1994) no. 3, pp. 331-342 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

Voir la notice de l'article

Classification : 90A19, 91B28 
@article{KYB_1994_30_3_a12,
     author = {Vajda, Igor and \"Osterreicher, Ferdinand},
     title = {Statistical analysis and applications of log-optimal investments},
     journal = {Kybernetika},
     pages = {331--342},
     year = {1994},
     volume = {30},
     number = {3},
     mrnumber = {1291935},
     zbl = {0818.90011},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_1994_30_3_a12/}
}
TY  - JOUR
AU  - Vajda, Igor
AU  - Österreicher, Ferdinand
TI  - Statistical analysis and applications of log-optimal investments
JO  - Kybernetika
PY  - 1994
SP  - 331
EP  - 342
VL  - 30
IS  - 3
UR  - http://geodesic.mathdoc.fr/item/KYB_1994_30_3_a12/
LA  - en
ID  - KYB_1994_30_3_a12
ER  - 
%0 Journal Article
%A Vajda, Igor
%A Österreicher, Ferdinand
%T Statistical analysis and applications of log-optimal investments
%J Kybernetika
%D 1994
%P 331-342
%V 30
%N 3
%U http://geodesic.mathdoc.fr/item/KYB_1994_30_3_a12/
%G en
%F KYB_1994_30_3_a12
Vajda, Igor; Österreicher, Ferdinand. Statistical analysis and applications of log-optimal investments. Kybernetika, Tome 30 (1994) no. 3, pp. 331-342. http://geodesic.mathdoc.fr/item/KYB_1994_30_3_a12/

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

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

[4] E. J. Elton, M. J. Gruber: Modern Portfolio Theory and Investment Analysis. Wiley, New York 1991.

[5] H. M. Markowitz: Portfolio selection. J. Finance 7 (1952), 77-91.

[6] G. Morvai, I. Vajda: A survey on log-optimum portfolio selection. In: Proceedings of Second European Congress on System Science, Vol. 3. Czech Society for Cybernetics and Informatics, Prague 1993 (in print).

[7] I. Vajda, F. Österreicher: Existence, uniqueness and evaluation of log-optimal investment portfolio. Kybernetika 22 (1993), 105-120. | MR