| Title:
|
Portfolio choice based on the empirical distribution (English) |
| Author:
|
Morvai, Gusztáv |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
28 |
| Issue:
|
6 |
| Year:
|
1992 |
| Pages:
|
484-493 |
| . |
| Category:
|
math |
| . |
| MSC:
|
90A09 |
| MSC:
|
91B28 |
| idZBL:
|
Zbl 0776.90009 |
| idMR:
|
MR1204597 |
| . |
| Date available:
|
2009-09-24T18:34:47Z |
| Last updated:
|
2012-06-06 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/125352 |
| . |
| Reference:
|
[1] A.H.Algoet, T.M. Cover: Asymptotic optimality and asymptotic equipartition properties of log-optimum investment.Ann. Probab. 16 (1988), 876-898. MR 0929084 |
| Reference:
|
[2] Z.Artstein, S. Hart: Law of large numbers for random sets and allocation processes.Math. Oper. Res. 6 (1981), 485-492. Zbl 0524.28015, MR 0703091 |
| Reference:
|
[3] A. R. Barron, T. M. Cover: A bound on the financial value of information.IEEE Trans. Inform. Theory IT-34 (1988), 1097-1100. Zbl 0662.90023, MR 0982823 |
| Reference:
|
[4] R. Bell, T.M. Cover: Game-theoretic optimal portfolios.Management Sci. 34 (1988), 724-733. Zbl 0649.90014, MR 0943277 |
| Reference:
|
[5] L. Breiman: Investment policies for expanding businesses optimal in a long-run sense.Naval Res. |
| Reference:
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[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. Zbl 0109.36803, MR 0135630 |
| Reference:
|
[7] T. M. Cover: An algorithm for maximizing expected long investment return.IEEE Trans. Infrom. Theory IT-30 (1984), 369-373. MR 0754868 |
| Reference:
|
[8] T. M. Cover: Universal portfolios.Math. Finance 1 (1991), 1-29. Zbl 0900.90052, MR 1113417 |
| Reference:
|
[9] T. M. Cover, J. A. Thomas: Elements of Information Theory.Wiley, New York 1991. Zbl 0762.94001, MR 1122806 |
| Reference:
|
[10] M. Finkelstein, R. Whitley: Optimal strategies for repeated games.Adv. Appl. Probab. 13 (1981), 415-428. Zbl 0456.90100, MR 0612212 |
| Reference:
|
[11] J. Kelly: A new interpretation of information rate.Bell Sys. Tech. J. 35 (1956), 917-926. MR 0090494 |
| Reference:
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[12] A.J. King, R.J.-B. Wets: Epi-consistency of convex stochastic programs.Stochastics Rep. 34 (1991), 83-92. Zbl 0733.90049, MR 1104423 |
| Reference:
|
[13] G. Morvai: Empirical log-optimal portfolio selection.Problems Control Inform. Theory 20 (1991), 453-463. Zbl 0752.90004, MR 1156460 |
| Reference:
|
[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. Zbl 0374.49001, MR 0512209 |
| Reference:
|
[15] R.J.-B. Wets: Constrained estimation: consistency and asymptotics.Appl. Stochastic Models Data Anal. 7 (1991), 17-32. Zbl 0800.62187, MR 1105870 |
| . |
