GYÖRFI, LÁSZLÓ; URBÁN, ANDRÁS; VAJDA, ISTVÁN - In: International Journal of Theoretical and Applied … 10 (2007) 03, pp. 505-516
The purpose of this paper is to introduce an approximation of the kernel-based log-optimal investment strategy that guarantees an almost optimal rate of growth of the capital under minimal assumptions on the behavior of the market. The new strategy uses much less knowledge on the distribution of...