Empirical portfolio strategies.

• Authors: Ottucsak Gy. , Vajda I.
• 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.

Keywords

EN

GROWTH OF CAPITAL; INVESTMENT STRATEGIES

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Committee for Economic Sciences of the Hungarian Academy of Sciences
• Journal: Kozgazdasagi Szemle (Economic Review)
• Year: 2006
• Volume: 53
• Issue: 7/8
• Pages: 624-640
• Document type: ARTICLE

Contributors

author

Ottucsak Gy.

author

Vajda I.

• Gy. Ottucsak, no address given, contact the journal editor

Identifiers

CEJSH db identifier

07HUAAAA02986116