IEEE - Institute of Electrical and Electronics Engineers, Inc. - An investigation of log-optimization and stock allocation strategy on large cap U.S. equities

IEEE Systems and Information Engineering Design Symposium (SIEDS 2008)

Author(s): S. Wegner ; A. Pascoe ; R. Turner ; P. Flesher ; M. Negash ; S. Meadows ; E. Rains ; P. Beling ; J. Lark
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 April 2008
Conference Location: Charlottesville, VA, USA
Conference Date: 25 April 2008
Page(s): 195 - 199
ISBN (CD): 978-1-4244-2366-8
ISBN (Paper): 978-1-4244-2365-1
DOI: 10.1109/SIEDS.2008.4559710
Regular:

This paper investigates the benefits associated with log-optimal asset allocation. The approach is restricted in an effort to apply mathematical models in ways that can be implemented practically.... View More

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