Universal semiconstant rebalanced portfolios

DOI10.1111/J.1467-9965.2010.00430.XMaRDI QIDQ3084601zbMATH OpenOpenAlexFDO

Authors 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)

Recommendations

• Universal portfolios with and without transaction costs.
• Constant rebalanced portfolios and side-information
• Universal Portfolios
• ASYMPTOTICALLY OPTIMAL PORTFOLIOS
• 10.1162/153244303321897672

Cites work

• scientific article; zbMATH DE number 2243362 (Why is no real title available?)
• Coding for a binary independent piecewise-identically-distributed source
• Low-complexity sequential lossless coding for piecewise-stationary memoryless sources
• On‐Line Portfolio Selection Using Multiplicative Updates
• Portfolio Selection with Transaction Costs
• The cost of achieving the best portfolio in hindsight
• Universal Switching Linear Least Squares Prediction

Cited in

(11)

• Universal portfolios with side information
• Online portfolio selection: a survey
• Constant rebalanced portfolios and side-information
• Amortized constant relaxed rebalancing using standard rotations
• FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES
• Universal portfolios with and without transaction costs.
• The cost of achieving the best portfolio in hindsight
• When to efficiently rebalance a portfolio
• Efficient Universal Portfolios for Past‐Dependent Target Classes
• Algorithmic trading for online portfolio selection under limited market liquidity
• Universal portfolios generated by Toeplitz matrices

This page was built for publication: Universal semiconstant rebalanced portfolios

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3084601)