A complete explicit solution to the log-optimal portfolio problem
Work
Year: 2003
Type: article
Abstract: D. Kramkov and W. Schachermayer [Ann. Appl. Probab. 9 (1999) 904-950] proved the existence of log-optimal portfolios under weak assumptions in a very general setting. For many--but not all--cases, T. ... more
Authors Thomas Goll, Jan Kallsen
Institution University of Freiburg
Cites: 26
Cited by: 146
Related to: 10
FWCI: 8.901
Citation percentile (by year/subfield): 99.98
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: bronze