The Growth Optimal Investment Strategy Is Secure, Too

László Györfi (), György Ottucsák () and Harro Walk ()
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László Györfi: Budapest University of Technology and Economics
György Ottucsák: Budapest University of Technology and Economics
Harro Walk: University of Stuttgart

Chapter Chapter 9 in Optimal Financial Decision Making under Uncertainty, 2017, pp 201-223 from Springer

Abstract: Abstract This paper is a revisit of discrete time, multi period and sequential investment strategies for financial markets showing that the log-optimal strategies are secure, too. Using exponential inequality of large deviation type, the rate of convergence of the average growth rate is bounded both for memoryless and for Markov market processes. A kind of security indicator of an investment strategy can be the market time achieving a target wealth. It is shown that the log-optimal principle is optimal in this respect.

Keywords: Portfolio selection; Growth rate; Log-optimality; Sequential investment strategies (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-3-319-41613-7_9

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DOI: 10.1007/978-3-319-41613-7_9

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