Universal Portfolios
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Publication:4345877
DOI10.1111/J.1467-9965.1991.TB00002.XzbMATH Open0900.90052OpenAlexW4237883889MaRDI QIDQ4345877FDOQ4345877
Authors: Thomas M. Cover 
Publication date: 31 August 1997
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1991.tb00002.x
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- Optimal online algorithms for the portfolio selection problem, bi-directional trading and -search with interrelated prices
- The TEAM Approach to Investing
- Relation between the rate of convergence of strong law of large numbers and the rate of concentration of Bayesian prior in game-theoretic probability
- Risk management strategies for finding universal portfolios
- Adaptive online portfolio strategy based on exponential gradient updates
- Simulated annealing algorithm for optimal capital growth
- A kernel-based trend pattern tracking system for portfolio optimization
- Adaptive online portfolio selection with transaction costs
- On asymptotic log-optimal portfolio optimization
- Linear programming with online learning
- Random concave functions
- Universal portfolio selection strategy by aggregating online expert advice
- Mean-variance efficiency of optimal power and logarithmic utility portfolios
- An improvement on El-Yaniv-Fiat-Karp-Turpin's money-making bi-directional trading strategy
- Shrinkage for covariance estimation: asymptotics, confidence intervals, bounds and applications in sensor monitoring and finance
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- The entropic barrier: exponential families, log-concave geometry, and self-concordance
- Competitive portfolio selection using stochastic predictions
- Regret to the best vs. regret to the average
- Multiagent cooperative search for portfolio selection
- Delayed information and action in on-line algorithms
- Universal semiconstant rebalanced portfolios
- Functional portfolio optimization in stochastic portfolio theory
- Measuring the efficiency of the intraday Forex market with a universal data compression algorithm
- Predicting a binary sequence almost as well as the optimal biased coin
- Short-term sparse portfolio optimization based on alternating direction method of multipliers
- Meta algorithms for portfolio optimization using reinforcement learning
- A CONTINUOUS TIME APPROXIMATION OF AN EVOLUTIONARY STOCK MARKET MODEL
- High-risk and competitive investment models
- Rational pricing of leveraged ETF expense ratios
- Binary switch portfolio
- On optimal retirement
- Competitive difference analysis of the cash management problem with uncertain demands
- Empirical log-optimal portfolio selections: a survey
- Automated trading with boosting and expert weighting
- Generalized self-concordant analysis of Frank-Wolfe algorithms
- GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS
- Algorithmic trading for online portfolio selection under limited market liquidity
- Online portfolio selection with long-short term forecasting
- Optimal capital growth with convex shortfall penalties
- On selection of efficient portfolios for maximum long-run rate of growth
- A strategy-proof test of portfolio returns
- Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio
- Approximating the growth optimal portfolio and stock price bubbles
- Adaptive strategies in Kelly’s horse races model
- Universal portfolios generated by Toeplitz matrices
- Capital growth with security
- Developing new portfolio strategies by aggregation
- On-line portfolio selection using stochastic programming
- St. Petersburg portfolio games
- Some Aspects of Information Theory in Gambling and Economics
- Stochastic nonstationary optimization for finding universal portfolios
- Forecasting electricity consumption by aggregating specialized experts
- Extracting certainty from uncertainty: regret bounded by variation in costs
- Some limit theorems for the log-optimal portfolio
- Replicator dynamics: old and new
- OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION
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- Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage
- KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES
- Online variance minimization
- PAMR: passive aggressive mean reversion strategy for portfolio selection
- An asymptotic analysis of the mean-variance portfolio selection
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- Universal schemes for prediction, gambling and portfolio selection
- Beating the market? A mathematical puzzle for market efficiency
- Robust option pricing: Hannan and Blackwell meet Black and Scholes
- Universal portfolios with side information
- Online portfolio selection: a survey
- Logarithmic regret algorithms for online convex optimization
- Optimization methods for large-scale machine learning
- Relative utility bounds for empirically optimal portfolios
- Constant rebalanced portfolios and side-information
- Learning in network contexts: experimental results from simulations
- A variational formula for risk-sensitive reward
- Compound decision theory and empirical Bayes methods
- Empirical Bayes stock market portfolios
- Competitive analysis for online leasing problem with compound interest rate
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- A lower bound on compression of unknown alphabets
- Internal regret in on-line portfolio selection
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- Transaction cost optimization for online portfolio selection
- Hybrid Atlas models
- Open markets
- Sequential optimizing strategy in multi-dimensional bounded forecasting games
- Universal portfolios with and without transaction costs.
- Diversity-weighted portfolios with negative parameter
- MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY
- Adaptive game playing using multiplicative weights
- Portfolio choice based on empirical distribution
- Efficient learning with virtual threshold gates
- Gated Bayesian networks for algorithmic trading
- AN ONLINE PORTFOLIO SELECTION ALGORITHM WITH REGRET LOGARITHMIC IN PRICE VARIATION
- Regret in the on-line decision problem
- Minmax regret solutions for minimax optimization problems with uncertainty
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