Game-Theoretic Optimal Portfolios
Management Science · 1988 · Volume 34 · Issue 6
Abstract
We show, for a wide variety of payoff functions, that the expected log optimal portfolio is also game theoretically optimal in a single play or in multiple plays of the stock market. Thus there is no essential conflict between good short-term and long-run performance. Both are achieved by maximizing the conditional expected log return.
Keywords
portfolio, game theory, log investment
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