This paper is a revisit of discrete time, multi period and sequential investment strategies for financial markets showing that the log-optimal strategies are secure, too. Using exponential inequality of large deviation type, the rate of convergence of the average growth rate is bounded both for memoryless and for Markov market processes. A kind of security indicator of an investment strategy can be the market time achieving a target wealth. It is shown that the log-optimal principle is optimal in this respect.
CITATION STYLE
Györfi, L., Ottucsák, G., & Walk, H. (2017). The growth optimal investment strategy is secure, too. In International Series in Operations Research and Management Science (Vol. 245, pp. 201–223). Springer New York LLC. https://doi.org/10.1007/978-3-319-41613-7_9
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