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Portfolio management without probabilities or statistics

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  • Sjur Flåm

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Abstract

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Suggested Citation

  • Sjur Flåm, 2010. "Portfolio management without probabilities or statistics," Annals of Finance, Springer, vol. 6(3), pages 357-368, July.
  • Handle: RePEc:kap:annfin:v:6:y:2010:i:3:p:357-368
    DOI: 10.1007/s10436-008-0106-6
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    File URL: http://hdl.handle.net/10.1007/s10436-008-0106-6
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    References listed on IDEAS

    as
    1. Amir, Rabah & Evstigneev, Igor V. & Hens, Thorsten & Schenk-Hoppe, Klaus Reiner, 2005. "Market selection and survival of investment strategies," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 105-122, February.
    2. Jorgen W. Weibull, 1997. "Evolutionary Game Theory," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262731215, January.
    3. repec:wsi:ijtafx:v:05:y:2002:i:06:n:s0219024902001547 is not listed on IDEAS
    4. Blume, Lawrence & Easley, David, 1992. "Evolution and market behavior," Journal of Economic Theory, Elsevier, vol. 58(1), pages 9-40, October.
    5. Gaivoronski, Alexei A. & Stella, Fabio, 2003. "On-line portfolio selection using stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1013-1043, April.
    6. Hens, Thorsten & Schenk-Hoppe, Klaus Reiner, 2005. "Evolutionary stability of portfolio rules in incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 43-66, February.
    7. Vega-Redondo,Fernando, 2003. "Economics and the Theory of Games," Cambridge Books, Cambridge University Press, number 9780521772518, April.
    8. Igor V. Evstigneev & Klaus Reiner Schenk-Hoppé, 2002. "From Rags To Riches: On Constant Proportions Investment Strategies," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(06), pages 563-573.
    9. Gaivoronski, A & Stella, F, 2000. "Nonstationary Optimization Approach for Finding Universal Portfolios," MPRA Paper 21913, University Library of Munich, Germany.
    10. Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2002. "Market Selection Of Financial Trading Strategies: Global Stability," Mathematical Finance, Wiley Blackwell, vol. 12(4), pages 329-339.
    11. Igor V. Evstigneev & Michal A. H. Dempster & Klaus R. Schenk-Hoppé, 2003. "Exponential growth of fixed-mix strategies in stationary asset markets," Finance and Stochastics, Springer, vol. 7(2), pages 263-276.
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    More about this item

    Keywords

    Portfolio selection; Log-utility; Growth of wealth; Numeraire portfolio; Evolutionary stability; Stochastic approximation; C61; C62; G11;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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