Growth optimal investment in horse race markets with costs

  • Authors:

  • G. N. Iyengar;T. M. Cover

  • Affiliations:

  • Dept. of Ind. Eng. & Oper. Res., Columbia Univ., New York, NY;-

  • Venue:
  • IEEE Transactions on Information Theory
  • Year:
  • 2006

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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