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

DOI10.1109/TIT.2013.2257914MaRDI QIDQ5346409zbMATH OpenOpenAlexFDO

Authors Harro Walk

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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