Efficient Universal Portfolios for Past‐Dependent Target Classes

DOI10.1111/1467-9965.00016zbMath1050.91041OpenAlexW1989314680MaRDI QIDQ4409030

Jason E. Cross, Andrew R. Barron

Publication date: 2003

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00016

zbMATH Keywords

polynomial timeterminal wealthtarget classes

Mathematics Subject Classification ID

Related Items (9)

Binary switch portfolio ⋮ A class of on-line portfolio selection algorithms based on linear learning ⋮ PAMR: passive aggressive mean reversion strategy for portfolio selection ⋮ PORTFOLIO SELECTION AND ONLINE LEARNING ⋮ RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA ⋮ Online portfolio selection ⋮ A tree-weighting approach to sequential decision problems with multiplicative loss ⋮ NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES ⋮ AN ONLINE PORTFOLIO SELECTION ALGORITHM WITH REGRET LOGARITHMIC IN PRICE VARIATION

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Universal portfolios with side information

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