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Market Selection of Financial Trading Strategies: Global Stability
12 references·2 citing·42 second hop
Market Selection of Financial Trading Strategies: Global Stability (2001)Market Selection of Financial Trading Str…PORTFOLIO CHOICE AND THE KELLY CRITERION (2011)PORTFOLIO CHOICE AND THE KELL…If You're so Smart, why Aren't You Rich? Belief Selection in Complete and Incomplete Markets (2006)If You're so Smart, why Aren'…Growth optimal investment and pricing of derivatives (2000)Growth optimal investment and…Do Markets Favor Agents able to Make Accurate Predictions? (2000)Do Markets Favor Agents able …Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Portfolio choice and the Bayesian Kelly criterion (1996)Portfolio choice and the Baye…Chapter 3 Capital growth theory (1995)Chapter 3 Capital growth theo…Evolution and market behavior (1992)Evolution and market behaviorUniversal Portfolios (1991)Universal PortfoliosAsymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment (1988)Asymptotic Optimality and Asy…OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966. (1975)OPTIMAL INVESTMENT AND CONSUM…Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions (1970)Optimal Investment and Consum…On the Evolution of Investment Strategies and the Kelly Rule—A Darwinian Approach (2007)On the Evolution of Investmen…Do workers enjoy procedural utility? (2002)Do workers enjoy procedural u…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)Growth versus security tradeoffs indynamic investment analysis (1999)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)Risk, Uncertainty and Profit (1921)Evolution and the Theory of Games (1988)On economic applications of evolutionary game theory (1998)Agent-based computational finance: Suggested readings and early research (2000)The Theory of Economic Development (2003)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Continuous-Time Finance. (1991)Maximizing the probability of a perfect hedge (1999)MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY (2002)Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts’ Recommendations (2006)Brownian Motion and Stochastic Calculus (2007)Uncertainty, Evolution, and Economic Theory (1950)The Behavior of Stock-Market Prices (1965)Noise Trader Risk in Financial Markets (1990)Natural Selection in Financial Markets: Does It Work? (2008)Belief Disagreements and Collateral Constraints (2013)Evolutionary Game Theory: A Renaissance (2018)Asset Prices in an Exchange Economy (1978)Theory of Games and Economic Behavior (1946)Risk Aversion in the Small and in the Large (1964)ON THE THEORY OF FINANCIAL INTERMEDIATION (1971)An Asymptotic Theory of Growth Under Uncertainty (1975)Risk Aversion in the Small and in the Large (1976)Modern portfolio theory, 1950 to date (2011)Portfolio Selection (1952)A Simplified Model for Portfolio Analysis (1963)Essays in the Theory of Risk-Bearing. (1972)Adaptive Game Playing Using Multiplicative Weights (1999)Efficient algorithms for online decision problems (2004)Robust Dynamic Programming (2005)Universal portfolios with side information (1996)The numéraire portfolio in semimartingale financial models (2007)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods (1974)
this work references cited by second hop

References

  • 1998Methods of Mathematical Finance1,939 cited
  • 1991Universal Portfolios581 cited
  • 1992Evolution and market behavior553 cited
  • 2000Do Markets Favor Agents able to Make Accurate Predictions?412 cited
  • 2006If You're so Smart, why Aren't You Rich? Belief Selection in Complete and Incomplete Markets386 cited
  • 1970Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions347 cited
  • 1975OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966.347 cited
  • 1988Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment343 cited
  • 1996Portfolio choice and the Bayesian Kelly criterion123 cited
  • 1995Chapter 3 Capital growth theory69 cited
  • 2011PORTFOLIO CHOICE AND THE KELLY CRITERION58 cited
  • 2000Growth optimal investment and pricing of derivatives38 cited

Cited by

  • 2007On the Evolution of Investment Strategies and the Kelly Rule—A Darwinian Approach23 cited
  • 2002Do workers enjoy procedural utility?21 cited

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