Universal schemes for prediction, gambling and portfolio selection

DOI10.1214/AOP/1176989811zbMath0758.90006OpenAlexW2013610892MaRDI QIDQ1196946

Paul H. Algoet

Publication date: 16 January 1993

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176989811

zbMATH Keywords

stock marketinvestmentportfolio selectionstationary ergodic processesKelly horse racestationary ergodic marketuniversal gambling schemeuniversal prediction scheme

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Ergodic theory of linear operators (47A35) Portfolio theory (91G10)

Related Items (24)

A uniform limit theorem for predictive distributions ⋮ Entropy estimation of symbol sequences ⋮ Limit theorems for a class of identically distributed random variables. ⋮ Consistent estimation of a general nonparametric regression function in time series ⋮ KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES ⋮ A universal online caching algorithm based on pattern matching ⋮ Intermittent estimation of stationary time series ⋮ Nonparametric inference for ergodic, stationary time series ⋮ Rate of convergence of predictive distributions for dependent data ⋮ Weakly universally consistent static forecasting of stationary and ergodic time series via local averaging and least squares estimates ⋮ ON SEQUENTIAL ESTIMATION AND PREDICTION FOR DISCRETE TIME SERIES ⋮ Risk management strategies for finding universal portfolios ⋮ Estimating the conditional expectations for continuous time stationary processes ⋮ Robust maximization of asymptotic growth ⋮ Nonparametric sequential prediction of time series ⋮ On universal estimates for binary renewal processes ⋮ Nonparametric sequential prediction for stationary processes ⋮ Online portfolio selection ⋮ Multiagent cooperative search for portfolio selection ⋮ Regression Estimation from an Individual Stable Sequence ⋮ On universal algorithms for classifying and predicting stationary processes ⋮ Limits to classification and regression estimation from ergodic processes ⋮ Unnamed Item ⋮ Unnamed Item

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