Bell, Robert; Cover, Thomas M. Game-theoretic optimal portfolios. (English) Zbl 0649.90014 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. Cited in 1 ReviewCited in 11 Documents MSC: 91B28 Finance etc. (MSC2000) 91A40 Other game-theoretic models Keywords:game-theoretic optimal portfolios; expected log optimal portfolio PDF BibTeX XML Cite \textit{R. Bell} and \textit{T. M. Cover}, Manage. Sci. 34, No. 6, 724--752 (1988; Zbl 0649.90014) Full Text: DOI