PL EN


2006 | 53 | 7/8 | 624-640
Article title

Empirical portfolio strategies.

Title variants
Languages of publication
HU
Abstracts
EN
The paper introduces sequential investment strategies that guarantee an optimal rate of growth of capital while making minimal assumptions about the behaviour of the market. The one assumption is that the market is stationary and ergodic. The authors review the theoretical and the empirical properties of the new strategies. The theoretical results show that the asymptotic rate of growth matches the log-optimal one that could be achieved only with full knowledge of the statistical properties of the underlying process generating the market. The new approach is related to the classic Markowitz portfolio strategy.
Year
Volume
53
Issue
7/8
Pages
624-640
Physical description
Document type
ARTICLE
Contributors
author
author
  • Gy. Ottucsak, no address given, contact the journal editor
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
07HUAAAA02986116
YADDA identifier
bwmeta1.element.59a76f62-7249-3cc0-addc-fed49934c5c1
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