Optimal leverage from non-ergodicity

DOI10.1080/14697688.2010.513338zbMath1277.91160arXiv0902.2965OpenAlexW3105124980MaRDI QIDQ2866375

Ole Peters

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0902.2965

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (4)

Evaluating gambles using dynamics ⋮ Time averaging, ageing and delay analysis of financial time series ⋮ Stochastic logistic model of the global financial leverage ⋮ Leverage causes fat tails and clustered volatility

Cites Work

• Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
• The Efficiency Analysis of Choices Involving Risk
• Exposition of a New Theory on the Measurement of Risk

This page was built for publication: Optimal leverage from non-ergodicity