Empirical Bayes stock market portfolios

DOI10.1016/0196-8858(86)90029-1zbMath0604.90018OpenAlexW1999407923MaRDI QIDQ1083349

David H. Gluss, Thomas M. Cover

Publication date: 1986

Published in: Advances in Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0196-8858(86)90029-1

zbMATH Keywords

optimal portfoliocompound sequential Bayes portfolio selection algorithm

Mathematics Subject Classification ID

Bayesian inference (62F15) Portfolio theory (91G10)

Related Items (6)

Portfolio selection algorithm under financial crisis: a case study with Bursa Malaysia ⋮ PAMR: passive aggressive mean reversion strategy for portfolio selection ⋮ Universal Portfolios ⋮ Online portfolio selection ⋮ Multiagent cooperative search for portfolio selection ⋮ A novel online portfolio selection strategy with multiperiodical asymmetric mean reversion

Cites Work

• An analog of the minimax theorem for vector payoffs
• An algorithm for maximizing expected log investment return
• Competitive Optimality of Logarithmic Investment
• Optimal strategies for repeated games
• Asymptotic Solutions of the Compound Decision Problem for Two Completely Specified Distributions
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