A Note on Universal Bilinear Portfolios

A Note on Universal Bilinear Portfolios

This note provides a neat and enjoyable expansion and application of the magnificent Ordentlich-Cover theory of “universal portfolios”. I generalize Cover’s benchmark of the best constant-rebalanced portfolio (or 1-linear trading strategy) in hindsight by considering the best bilinear trading strate...

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Bibliographic Details
Main Author: Alex Garivaltis
Format: Article
Language:English
Published: MDPI AG 2021-02-01
Series:International Journal of Financial Studies
Subjects:
on-line portfolio selection
universal portfolios
robust procedures
model uncertainty
constant-rebalanced portfolios
asymptotic capital growth
Online Access:https://www.mdpi.com/2227-7072/9/1/11

Internet

https://www.mdpi.com/2227-7072/9/1/11

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