A preference foundation for log mean-variance criteria in portfolio choice problems
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Publication:690178
DOI10.1016/0165-1889(93)90021-JzbMath0784.90011OpenAlexW2058282539MaRDI QIDQ690178
Publication date: 20 December 1993
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1889(93)90021-j
Related Items (11)
A numerical evaluation of meta-heuristic techniques in portfolio optimisation ⋮ Using the Kelly Criterion for Investing ⋮ Markets do not select for a liquidity preference as behavior towards risk ⋮ The regime switching portfolios ⋮ Constant rebalanced portfolio optimization under nonlinear transaction costs ⋮ Log mean-variance portfolio selection under regime switching ⋮ Market selection of constant proportions investment strategies in continuous time ⋮ Analysis of the rebalancing frequency in log-optimal portfolio selection ⋮ The evolution of portfolio rules and the capital asset pricing model ⋮ An appreciation of Professor David G. Luenberger ⋮ Arbitrage and universal pricing.
Cites Work
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- Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
- Competitive Optimality of Logarithmic Investment
- Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
- A negative report on the ‘near optimality’ of the max-expected-log policy as applied to bounded utilities for long lived programs
- The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
- The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling
- The General Form of the So-Called Law of the Iterated Logarithm
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