• DocumentCode
    1412906
  • 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
  • Volume
    46
  • Issue
    7
  • fYear
    2000
  • fDate
    11/1/2000 12:00:00 AM
  • Firstpage
    2675
  • Lastpage
    2683
  • 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;
  • fLanguage
    English
  • Journal_Title
    Information Theory, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9448
  • Type

    jour

  • DOI
    10.1109/18.887881
  • Filename
    887881
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1412906