Title :
Iterative nonparametric estimation of a log-optimal portfolio selection function
Author :
Walk, Harro ; Yakowitz, Sidney
Author_Institution :
Math. Inst. A, Stuttgart Univ., Germany
fDate :
1/1/2002 12:00:00 AM
Abstract :
Let stock market vectors form a stationary ergodic sequence. For fixed d ∈ N, a log-optimal portfolio selection function of the past d observed vectors is iteratively estimated on the basis of a training sequence by use of gradients and nonparametric regression. Strong consistency is obtained under a boundedness and α-mixing condition without further assumptions on the distribution
Keywords :
estimation theory; iterative methods; optimisation; sequences; stock markets; α-mixing condition; boundedness; gradients; iterative nonparametric estimation; log-optimal portfolio selection function; nonparametric regression; observed vectors; stationary ergodic sequence; stock market vectors; strong consistency; training sequence; Convergence; Industrial engineering; Industrial training; Investments; Kernel; Neural networks; Polynomials; Portfolios; Stochastic processes; Stock markets;
Journal_Title :
Information Theory, IEEE Transactions on