An algorithm for maximizing expected log investment return
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Publication:3329158
DOI10.1109/TIT.1984.1056869zbMath0541.90007MaRDI QIDQ3329158
Publication date: 1984
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
algorithmconvergencelog-optimal portfolioKullback- Leibler information numbermaximal expected log return
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