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Game-theoretic optimal portfolios. (English) Zbl 0649.90014
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
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