Luo, Yong; Zhu, Bo; Tang, Yong - In: Physica A: Statistical Mechanics and its Applications 408 (2014) C, pp. 10-18
We investigate the problem of dynamic optimal capital growth of a portfolio. A general framework that one strives to maximize the expected logarithm utility of long term growth rate was developed. Exact optimization algorithms run into difficulties in this framework and this motivates the...