Some limit theorems for the log-optimal portfolio

DOI10.1186/1029-242X-2014-310zbMath1334.60042WikidataQ59323288 ScholiaQ59323288MaRDI QIDQ257856

Hongzhi Zhang, Ruili Hao, Zhen-Hua Bao, Wei-guo Yang

Publication date: 17 March 2016

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

zbMATH Keywords

strong limit theorems\(\ast\)-mixing sequencelog-optimal portfolio

Mathematics Subject Classification ID

Strong limit theorems (60F15) Financial applications of other theories (91G80) Portfolio theory (91G10)

Cites Work

• Relative entropy densities and a class of limit theorems of the sequence of m-valued random variables
• A class of strong limit theorems for the sequences of arbitrary random variables.
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