Kybernetika 30 no. 3, 331-342, 1994

Statistical analysis and applications of log-optimal investments

Igor Vajda and Ferdinand Österreicher

Abstract:

Known facts about the existence and uniqueness of the log-optimal investment portfolio are presented in a simpler and more complete form than in previous publications. Five examples illustrate the problems around its existence and uniqueness and provide an intuitive insight into mathematical properties of the log-optimal portfolio and the associated optimal doubling rate.

Classification:

91B28, 90A19