Some limit theorems for the log-optimal portfolio

Journal of inequalities and applications

Hongzhi Zhang¹ 

关键词: log-optimal portfolio;    ∗;    limit theorem;   

DOI  :  10.1186/1029-242X-2014-310

学科分类：数学（综合）

来源: SpringerOpen

【 摘 要 】

In this paper, we mainly study the strong limit theorems for the log-optimal portfolio of the ∗-mixing stock market. First, we establish a strong limit theorem for the log-optimal portfolio of any sequence investment, then we obtain the result that the average return of the long term behavior of a sequence investment converges to the average of the expectation return in every period with probability 1 under some conditions. We also obtain another strong limit theorem for the log-optimal portfolio for a class of sequence investments. MSC:60F15, 91B28.

【 授权许可】

CC BY