Title :
Growth optimal investment in horse race markets with costs
Author :
Iyengar, Garud N. ; Cover, Thomas M.
Author_Institution :
Dept. of Ind. Eng. & Oper. Res., Columbia Univ., New York, NY, USA
fDate :
11/1/2000 12:00:00 AM
Abstract :
We formulate the problem of growth optimal investment in horse race markets with proportional costs and study growth optimal strategies both for stochastic horse races as well as races where one does not make any distributional assumptions. Our results extend all known results for frictionless horse race markets to their natural analog in markets with costs
Keywords :
costing; investment; marketing; optimisation; sport; stochastic processes; growth optimal investment; horse race markets; proportional transaction costs; stochastic horse races; Cost function; Economic indicators; Entropy; Horses; Investments; Statistical distributions; Stochastic processes;
Journal_Title :
Information Theory, IEEE Transactions on
