UNIVERSAL SEMICONSTANT REBALANCED PORTFOLIOS

DOI10.1111/J.1467-9965.2010.00430.XzbMath1214.91100OpenAlexW1932396968MaRDI QIDQ3084601

Suleyman S. Kozat, Andrew C. Singer

Publication date: 25 March 2011

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00430.x

zbMATH Keywords

portfoliouniversalcompetitiverebalancing times

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (2)

Algorithmic trading for online portfolio selection under limited market liquidity ⋮ Online portfolio selection

Cites Work

• Unnamed Item
• The Cost of Achieving the Best Portfolio in Hindsight
• Coding for a binary independent piecewise-identically-distributed source
• Universal Switching Linear Least Squares Prediction
• Low-complexity sequential lossless coding for piecewise-stationary memoryless sources
• On‐Line Portfolio Selection Using Multiplicative Updates
• Portfolio Selection with Transaction Costs

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