Analysis of the rebalancing frequency in log-optimal portfolio selection
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Publication:5190136
DOI10.1080/14697680802629400zbMath1202.91300OpenAlexW2111435163MaRDI QIDQ5190136
Daniel Kuhn, David G. Luenberger
Publication date: 12 March 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22144
growth rateKelly criterionportfolio selectionBlack-Scholes economylog utilityrebalancing frequencycontinuous-time and discrete-time rebalancing
Related Items (7)
Nash equilibrium strategies and survival portfolio rules in evolutionary models of asset markets ⋮ On asymptotic log-optimal portfolio optimization ⋮ Evolutionary finance and dynamic games ⋮ Local stability analysis of a stochastic evolutionary financial market model with a risk-free asset ⋮ Almost sure Nash equilibrium strategies in evolutionary models of asset markets ⋮ An evolutionary finance model with a risk-free asset ⋮ Computing optimal rebalance frequency for log-optimal portfolios
Uses Software
Cites Work
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- Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
- MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
- Portfolio Selection with Transaction Costs
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