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Cover's Algorithm Modified for Nonparametric Estimation of a Log-Optimal Portfolio Selection Function

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Publication:5346409
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DOI10.1109/TIT.2013.2257914zbMATH Open1364.91145OpenAlexW2082835201MaRDI QIDQ5346409FDOQ5346409


Authors: Harro Walk Edit this on Wikidata


Publication date: 8 June 2017

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tit.2013.2257914





Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)



Cited In (1)

  • Iterative nonparametric estimation of a log-optimal portfolio selection function





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