Game-Theoretic Optimal Portfolios

Published Online:https://doi.org/10.1287/mnsc.34.6.724

We show, for a wide variety of payoff functions, that the expected log optimal portfolio is also game theoretically optimal in a single play or in multiple plays of the stock market. Thus there is no essential conflict between good short-term and long-run performance. Both are achieved by maximizing the conditional expected log return.

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