GAME-THEORETIC OPTIMAL PORTFOLIOS

被引：45

作者：

BELL, R

COVER, TM

机构：

[1] STANFORD UNIV,DEPT STAT,STANFORD,CA 94305

[2] STANFORD UNIV,DEPT ELECT ENGN,STANFORD,CA 94305

来源：

关键词：

D O I：

10.1287/mnsc.34.6.724

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

引用

页码：724 / 733

页数：10

共 9 条

[1]

ALGOET P, 1988, IN PRESS ANN PROBAB, V16

[2] COMPETITIVE OPTIMALITY OF LOGARITHMIC INVESTMENT [J].

BELL, RM ;

COVER, TM .

[3]

BREIMAN L, 1961, 4TH P BERK S MATH ST, V1, P65

[4]

Cover T. M., 1984, IEEE Transactions on Information Theory, VIT-30, P369, DOI 10.1109/TIT.1984.1056869

[5] EMPIRICAL BAYES STOCK-MARKET PORTFOLIOS [J].

COVER, TM ;

GLUSS, DH .

[6] OPTIMAL STRATEGIES FOR REPEATED GAMES [J].

FINKELSTEIN, M ;

WHITLEY, R .

[7] GENERAL PROOF THAT DIVERSIFICATION PAYS [J].

SAMUELSON, PA .

[8]

SAMUELSON PA, 1969, REV ECON STAT, P239

[9] OPTIMAL GAMBLING SYSTEMS FOR FAVORABLE GAMES [J].

THORP, EO .

REVUE DE L INSTITUT INTERNATIONAL DE STATISTIQUE-REVIEW OF THE INTERNATIONAL STATISTICAL INSTITUTE, 1969, 37 (03) :273-&