Growth optimal investment in horse race markets with costs

Authors
Iyengar, GN Cover, TM
Citation
Gn. Iyengar et Tm. Cover, Growth optimal investment in horse race markets with costs, IEEE INFO T, 46(7), 2000, pp. 2675-2683
Citations number
17
Categorie Soggetti
Information Tecnology & Communication Systems
Journal title
IEEE TRANSACTIONS ON INFORMATION THEORY
ISSN journal
00189448 → ACNP
Volume
46
Issue
7
Year of publication
2000
Pages
2675 - 2683
Database
ISI
SICI code
0018-9448(200011)46:7<2675:GOIIHR>2.0.ZU;2-O
Abstract
We formulate the problem of growth optimal investment in horse race markets with proportional costs and study growth optimal strategies both for stoch astic horse races as well as races where one does not make any distribution al assumptions. Our results extend all known results for frictionless horse race markets to their natural analog in markets with costs.