Investment Science¶
Luenberger, D. G. (1998). Investment Science. Oxford University Press.
Cited by¶
1 citation across 1 artifact.
Each citation links to the sentence it supports in the citing article.
Primes¶
- Parrondo's Paradox
- In portfolio theory and finance, rebalancing between two negative-expected-return positions can yield positive growth when returns are anti-correlated conditional on a hidden state — the discrete-time "Shannon's demon" instance.
This sourceDevelops the volatility-pumping / rebalancing result ("Shannon's demon"): periodic rebalancing of anti-correlated, individually flat assets yields positive long-run log-growth.
- In portfolio theory and finance, rebalancing between two negative-expected-return positions can yield positive growth when returns are anti-correlated conditional on a hidden state — the discrete-time "Shannon's demon" instance.
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Registry ID ref:3cf98c375de3 · see in the full table