Received: 18 September 2020    Accepted: 11 July 2021
DOI: 10.1111/mafi.12331

ORIGINAL ARTICLE


Robust asymptotic growth in stochastic
portfolio theory under long-only constraints
David Itkin            Martin Larsson
Department of Mathematical Sciences,
Carnegie Mellon University, Pittsburgh,           Abstract
Pennsylvania, USA                      We consider the problem of maximizing the asymptotic
Correspondence                       growth rate of an investor under drift uncertainty in t ...