Analysis of the rebalancing frequency in log-optimal portfolio selection (Q5190136)
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scientific article; zbMATH DE number 5681144
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analysis of the rebalancing frequency in log-optimal portfolio selection |
scientific article; zbMATH DE number 5681144 |
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Analysis of the rebalancing frequency in log-optimal portfolio selection (English)
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12 March 2010
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portfolio selection
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Black-Scholes economy
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log utility
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growth rate
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continuous-time and discrete-time rebalancing
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rebalancing frequency
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Kelly criterion
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