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- W1914549744 abstract "Following the paper by Algoet--Cover (1988), we analyse log-optimal portfolios where return evaluation includes `weights' of different outcomes. The results are twofold: (A) under certain conditions, logarithmic growth rate is a supermartingale, and (B) the optimal (martingale) investment strategy is a proportional betting; it does not depend on the form of the weight function, although the optimal rate does. The existence of an optimal investment strategy has been established earlier in a great generality by Kramkov--Schachermayer (2003) although our underlying assumptions are different." @default.
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- W1914549744 date "2015-05-06" @default.
- W1914549744 modified "2023-10-16" @default.
- W1914549744 title "Weight functions and log-optimal investment portfolios" @default.
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- W1914549744 doi "https://doi.org/10.48550/arxiv.1505.01437" @default.
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