Growth optimal investment in horse race markets with costs

DOI10.1109/18.887881zbMath1050.91043OpenAlexW2162095888MaRDI QIDQ4545815

Thomas M. Cover, Garud Iyengar

Publication date: 2000

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/18.887881

zbMATH Keywords

proportional transaction costsgrowth optimalityuniversal investment

Mathematics Subject Classification ID

Related Items (6)

Von Neumann–Gale model, market frictions and capital growth ⋮ Growth Optimal Investment with Transaction Costs ⋮ Portfolio management without probabilities or statistics ⋮ The value of information for populations in varying environments ⋮ Online portfolio selection ⋮ UNIVERSAL INVESTMENT IN MARKETS WITH TRANSACTION COSTS

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