Game-Theoretic Optimal Portfolios
Management SciencePublished 1 June 1988
Robert M. Bell, Thomas M. Cover
Citations101
SJR quartileQ1
SJR score5.72
SNIP2.88
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Abstract
We show, 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.
Keywords
Decision SciencesEconomics, Econometrics and Finance
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