Game-Theoretic Optimal Portfolios

Robert Bell and Thomas M. Cover
Additional contact information
Robert Bell: The Rand Corporation
Thomas M. Cover: Departments of Statistics and Electrical Engineering, Stanford University, Stanford, California 94305

Management Science, 1988, vol. 34, issue 6, 724-733

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 (search for similar items in EconPapers)
Date: 1988
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Citations: View citations in EconPapers (16)

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