FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES

DOI10.1142/S0219024902001547zbMath1107.91333OpenAlexW3122772722MaRDI QIDQ3022063

Klaus Reiner Schenk-Hoppé, Igor V. Evstigneev

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024902001547

zbMATH Keywords

unbounded growthstationary marketsbalanced investment strategiesconstant proportions strategies

Mathematics Subject Classification ID

Related Items (8)

Financial markets. The joy of volatility ⋮ Portfolio management without probabilities or statistics ⋮ Asymptotic arbitrage and large deviations ⋮ GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS ⋮ Volatility-induced financial growth ⋮ Constant rebalanced portfolios and side-information ⋮ INSTITUTIONAL INVESTORS AND THE DEPENDENCE STRUCTURE OF ASSET RETURNS ⋮ Arbitrage in stationary markets

Cites Work

• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• Evolution and market behavior
• OPTIMAL LAG IN DYNAMICAL INVESTMENTS
• A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS
• Portfolio choice and the Bayesian Kelly criterion
• The return on investment from proportional portfolio strategies
• FINANCIAL FRICTION AND MULTIPLICATIVE MARKOV MARKET GAMES
• Convex-valued random dynamical systems: A variational principle for equilibrium states

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