The aim is to produce a self-contained text intended for a wide audience, including researchers and graduate students in computer science, finance, statistics, mathematics, and engineering.
Contents
1. On the History of the Growth-Optimal Portfolio
2. Empirical Log-Optimal Portfolio Selections: A Survey
3. Log-Optimal Portfolio-Selection Strategies with Proportional Transaction Costs
4. Growth-Optimal Portfolio Selection with Short Selling and Leverage
5. Nonparametric Sequential Prediction of Stationary Time Series
6. Empirical Pricing American Put Options
Papers合集: