Empirical portfolio strategies.

The paper introduces sequential investment strategies that guarantee an optimal rate of growth of capital while making minimal assumptions about the behaviour of the market. The one assumption is that the market is stationary and ergodic. The authors review the theoretical and the empirical properties of the new strategies. The theoretical results show that the asymptotic rate of growth matches the log-optimal one that could be achieved only with full knowledge of the statistical properties of the underlying process generating the market. The new approach is related to the classic Markowitz portfolio strategy.