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The Growth Optimal Investment Strategy Is Secure, Too

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Optimal Financial Decision Making under Uncertainty

Part of the book series: International Series in Operations Research & Management Science ((ISOR,volume 245))

Abstract

This paper is a revisit of discrete time, multi period and sequential investment strategies for financial markets showing that the log-optimal strategies are secure, too. Using exponential inequality of large deviation type, the rate of convergence of the average growth rate is bounded both for memoryless and for Markov market processes. A kind of security indicator of an investment strategy can be the market time achieving a target wealth. It is shown that the log-optimal principle is optimal in this respect.

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Acknowledgements

This work was partially supported by the European Union and the European Social Fund through project FuturICT.hu (grant no.: TAMOP-4.2.2.C-11/1/KONV-2012-0013).

Author information

Authors and Affiliations

  1. Department of Computer Science and Information Theory, Budapest University of Technology and Economics, Stoczek u.2, 1521, Budapest, Hungary

    László Györfi & György Ottucsák

  2. Department of Mathematics, University of Stuttgart, Pfaffenwaldring 57, 70569, Stuttgart, Germany

    Harro Walk

Authors
  1. László Györfi
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  2. György Ottucsák
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  3. Harro Walk
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Corresponding author

Correspondence to László Györfi .

Editor information

Editors and Affiliations

  1. University of Bergamo, Bergamo, Italy

    Giorgio Consigli

  2. EPFL, Lausanne, Cham, United Kingdom

    Daniel Kuhn

  3. Politecnico di Torino, Torino, Italy

    Paolo Brandimarte

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Györfi, L., Ottucsák, G., Walk, H. (2017). The Growth Optimal Investment Strategy Is Secure, Too. In: Consigli, G., Kuhn, D., Brandimarte, P. (eds) Optimal Financial Decision Making under Uncertainty. International Series in Operations Research & Management Science, vol 245. Springer, Cham. https://doi.org/10.1007/978-3-319-41613-7_9

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