Searching for "Universal Portfolio Selection." – sorted by Relevance.
9 documents found, showing 1 through 9.
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On-Line Portfolio Selection Using Multiplicative Updates
- … outperforms the best single stock as well as Cover's universal portfolio selection algorithm. We also present…
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Can we learn to beat the best stock
- … difference between the practical utility of “universal” sequence prediction and universal portfolio selection…
- Cited by 3 (0 self) – Add To MetaCart
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UNIVERSAL PORTFOLIOS WITH SWITCHING AND SIDE-INFORMATION
- …, for any partition Tk,n. In this sense, ˜ Wu(x n ) is a “universal” portfolio selection method. It still…
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Sn/S ∗ n Martingale
- … Data Compression Universal Portfolio Selection l∗∗ (X1, X2, ...,Xn) . = nH S∗∗ (X1, X2, ...,Xn) . ∗ = 2…
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Algorithms for Portfolio Management based on the Newton Method
- …. With this setup, Cover (1991) gave the first universal portfolio selection algorithm which had the optimal regret…
- Cited by 3 (1 self) – Add To MetaCart
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unknown title
- … PortfolioSelection problem and its generalizations. In this paper, we prove the surprising fact that such a…
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Better Algorithms for Benign Bandits
- … Portfolio Selection problem and its generalizations. In this paper, we prove the surprising fact that such a…
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Abstract Better Algorithms for Benign Bandits
- … will include a log(T ) term also. regret bounds of O(log(Q)) for the Universal Portfolio Selection problem…
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Growth optimal portfolio selection strategies with transaction costs
- … universal portfolio selection strategies. Another possibility is to assume that the market vectors…
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Showing 1 through 9.
