i.e., c = 3/4. 2.3 Portfolio Game with One or Two St. Petersburg Components. Consider the portfolio game, where a fraction of the capital is invested in simple.
We investigate the performance of the constantly rebalanced portfolios, when the random vectors of the market process { X i } are independent, ...
This chapter provides a survey of discrete time, multi-period, sequential investment strategies for financial markets, and shows some examples (Kelly game, ...
[ Györfi and Kevei (2009) ] studied the portfolio game, where a fraction of the capital is invested in the simple fair St. Petersburg game and the rest is kept ...
We investigate the performance of the constantly rebalanced portfolios, when the random vectors of the market process { X i } are independent, ...
Saber Interactive is a worldwide publisher and developer consisting of 13 studios in the Americas and Europe. Creating games for all major platforms.
Györfi, László and Kevei, P. (2009) St. Petersburg portfolio games in Algorithmic Learning Theory. Springer Verlag . Full text not available from this ...
The St. Petersburg paradox is a situation where a naïve decision criterion that takes only the expected value into account predicts a course of action
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The paradox describes a situation where a simple game of chance offers an infinite expected payoff, and yet any reasonable investor will pay no more than a few.
Abstract. The St. Petersburg Paradox is a famous economic and philosophical puzzle that has generated numerous conflicting explanations.