Game-Theoretic Optimal Portfolios

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.

• 저널Management Science · 34(6) · 724–733
• 토픽Financial Markets and Investment Strategies · Finance
• DOI10.1287/mnsc.34.6.724
• 저자Robert M. Bell, Thomas M. Cover