Game-theoretic optimal portfolios. (English) Zbl 0649.90014

Bell, Robert; Cover, Thomas M.

Manage. Sci. 34, No. 6, 724-752 (1988).

Summary: 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 log-run performance. Both are achieved by maximizing the conditional expected log return.

MSC:

91B28	Finance etc. (MSC2000)
91A40	Other game-theoretic models

Keywords:

game-theoretic optimal portfolios; expected log optimal portfolio