Computational Finance Journal

Tuesday, March 22, 2005

Growth Optimal Portfolio

Given a set of securities let the portfolio be {x1 to xn} for the n securities. where xi >= 0 and sum(xi) = 1. define the return of round j rj to be sum[xi * rij] .
Aim is t maximize product(pi* ln(1 ri)), where pi is the probability of scenario i.

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