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  5. The Ross Recovery Theorem and Log Optimal Portfolio

The Ross Recovery Theorem and Log Optimal Portfolio

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：junjian1127
【摘 要】
：
　　We set up a framework that relates Ross recovery theorem with stochastic portfolio theory and obtain the recovery result from the long term perspective,part
【作 者】
：
Wang Yiwei Chen Nan 
【机 构】
：
The Chinese Univ.of Hong Kong
【出 处】
：
第八届工业与应用数学国际大会
【发表日期】
：
2015年期
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论文部分内容阅读
　　We set up a framework that relates Ross recovery theorem with stochastic portfolio theory and obtain the recovery result from the long term perspective,particularly from the log optimal portfolio theory.
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