Before revision: This paper resolves a question proposed in Kardaras and Robertson ( 2011): how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying process is unavailable.
After revision: This paper resolves a question proposed in Kardaras and Robertson ( arXiv:1005.3454) how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying process is unavailable.