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Competitive Optimality of Logarithmic Investment
3 references·16 citing·42 second hop
Competitive Optimality of Logarithmic Investment (1980)Competitive Optimality of Logarithmic Inv…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…Capital Growth and the Mean-Variance Approach to Portfolio Selection (1971)Capital Growth and the Mean-V…General Proof that Diversification Pays (1967)General Proof that Diversific…Generalizations of the General Lotto and Colonel Blotto games (2020)Generalizations of the Genera…From Duels to Battlefields: Computing Equilibria of Blotto and Other Games (2019)From Duels to Battlefields: C…Online Portfolio Selection: A Survey (2012)Online Portfolio Selection: A…On the History of the Growth-Optimal Portfolio (2012)On the History of the Growth-…Long-term capital growth: the good and bad properties of the Kelly and fractional Kelly capital growth criteria (2010)Long-term capital growth: the…Do the Weak Stand a Chance? Distribution of Resources in a Competitive Environment (2009)Do the Weak Stand a Chance? D…Asymptotic Theory of Information-Theoretic Experimental Design (2005)Asymptotic Theory of Informat…Stochastic differential portfolio games (2000)Stochastic differential portf…Growth versus security tradeoffs indynamic investment analysis (1999)Growth versus security tradeo…Switching Portfolios (1997)Switching PortfoliosChapter 3 Capital growth theory (1995)Chapter 3 Capital growth theo…A preference foundation for log mean-variance criteria in portfolio choice problems (1993)A preference foundation for l…Game-Theoretic Optimal Portfolios (1988)Game-Theoretic Optimal Portfo…A bound on the financial value of information (1988)A bound on the financial valu…Empirical Bayes stock market portfolios (1986)Empirical Bayes stock market …An algorithm for maximizing expected log investment return (1984)An algorithm for maximizing e…Portfolio Selection: Efficient Diversification of Investments (1959)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)From Rags to Riches: On Constant Proportions Investment Strategies (2001)The real-life performance of market timing with moving average and time-series momentum rules (2014)Optimal Multiperiod Portfolio Policies (1968)Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment (1988)The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)Liquidity Preference as Behavior Towards Risk (1958)ON THE THEORY OF FINANCIAL INTERMEDIATION (1971)Mutual fund separation in financial theory—The separating distributions (1978)On the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice (1983)Criteria for Choice Among Risky Ventures (1959)Evolutionary stability of portfolio rules in incomplete markets (2004)Evolutionary Stable Stock Markets (2006)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)The strong law of large numbers for sequential decisions under uncertainty (1994)The efficiency of investment information (1998)On a Measure of the Information Provided by an Experiment (1956)Theory of optimal experiments (1972)Bayesian Experimental Design: A Review (1995)Bayesian experimental design for the active nitridation of graphite by atomic nitrogen (2011)A Hierarchical Adaptive Approach to Optimal Experimental Design (2014)Modern Bayesian Experimental Design (2024)Theory of Games and Economic Behavior (1945)The Behavior of Stock-Market Prices (1965)Portfolio Choice and the Kelly Criterion**This research was supported in part by the Air Force Office of Scientific Research under Grant AF-AFOSR 1870A. An expanded version of this paper will be submitted for publication elsewhere. (1975)A General Mean-Variance Approximation to Expected Utility for Short Holding Periods (1981)Theory of games and economic behavior (2019)Dynamic Asset Pricing Theory. (1993)Risk-Constrained Dynamic Active Portfolio Management (2000)Stochastic differential equations and applications (2008)Optimal investment and reinsurance of an insurer with model uncertainty (2009)Non-zero-sum stochastic differential reinsurance and investment games with default risk (2017)POLITICALLY CONTESTABLE RENTS AND TRANSFERS* (1989)The all-pay auction with complete information (1996)An Introduction to Copulas (1999)Focality and Asymmetry in Multi-Battle Contests (2016)Winning ways: How rank-based incentives shape risk-taking decisions (2024)Moral Hazard and Observability (1979)Prospect theory: An analysis of decision under risk (1988)The New Institutional Economics: Taking Stock, Looking Ahead (2000)
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References

  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1967General Proof that Diversification Pays377 cited
  • 1971Capital Growth and the Mean-Variance Approach to Portfolio Selection199 cited

Cited by

  • 1984An algorithm for maximizing expected log investment return148 cited
  • 2005Asymptotic Theory of Information-Theoretic Experimental Design110 cited
  • 1988Game-Theoretic Optimal Portfolios96 cited
  • 2000Stochastic differential portfolio games94 cited
  • 2010Long-term capital growth: the good and bad properties of the Kelly and fractional Kelly capital growth criteria84 cited
  • 2020Generalizations of the General Lotto and Colonel Blotto games83 cited
  • 1995Chapter 3 Capital growth theory69 cited
  • 2012Online Portfolio Selection: A Survey68 cited
  • 1986Empirical Bayes stock market portfolios67 cited
  • 1988A bound on the financial value of information58 cited
  • 1997Switching Portfolios52 cited
  • 1999Growth versus security tradeoffs indynamic investment analysis52 cited
  • 1993A preference foundation for log mean-variance criteria in portfolio choice problems

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51 cited
  • 2009Do the Weak Stand a Chance? Distribution of Resources in a Competitive Environment48 cited
  • 2019From Duels to Battlefields: Computing Equilibria of Blotto and Other Games45 cited
  • 2012On the History of the Growth-Optimal Portfolio35 cited