KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES

DOI10.1142/S0219024907004251zbMath1136.91437MaRDI QIDQ5297235

István Vajda, András Urbán, László Györfi

Publication date: 18 July 2007

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

sequential investmentkernel-based empirical portfolio selectionssemi-log-optimal portfolios

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (7)

What is the value of the cross-sectional approach to deep reinforcement learning? ⋮ PAMR: passive aggressive mean reversion strategy for portfolio selection ⋮ Robust maximization of asymptotic growth ⋮ Log-Optimal Portfolios with Memory Effect ⋮ Computing optimal rebalance frequency for log-optimal portfolios in linear time ⋮ Computing optimal rebalance frequency for log-optimal portfolios ⋮ Performance analysis of log-optimal portfolio strategies with transaction costs

Cites Work

• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• Universal schemes for prediction, gambling and portfolio selection
• The Individual Ergodic Theorem of Information Theory
• Universal Portfolios
• On‐Line Portfolio Selection Using Multiplicative Updates
• When Should We be Prepared to Improve a Portfolio by Lacklustre Stocks? — A Note on Log-Optimal Portfolio Selection
• NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES

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