Constant rebalanced portfolios and side-information

DOI10.1080/14697680601157942zbMath1278.91136OpenAlexW1967494481WikidataQ62048173 ScholiaQ62048173MaRDI QIDQ3593599

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Publication date: 23 July 2007

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

Full work available at URL: https://doi.org/10.1080/14697680601157942

zbMATH Keywords

constant rebalanced portfoliomixture best constant rebalanced portfolioonline investment strategyside-information

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

Universal portfolio selection strategy by aggregating online expert advice ⋮ Adaptive moment estimation for universal portfolio selection strategy ⋮ Aggregating expert advice strategy for online portfolio selection with side information

Cites Work

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• Competitive Optimality of Logarithmic Investment
• Universal Portfolios
• The return on investment from proportional portfolio strategies
• Applied Bayesian Modelling
• Universal portfolios with side information
• Stochastic nonstationary optimization for finding universal portfolios

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