Title :
Performance of universal portfolios in the stock market
Author :
Cover, Tom ; Julian, David
Author_Institution :
Inf. Syst. Lab., Stanford Univ., CA, USA
Abstract :
We compare the theoretical and empirical performance of horizon-free universal portfolios for a large number of stock pairs using real stock market data in two scenarios: with and without side information, and with and without short selling
Keywords :
stock markets; horizon-free universal portfolios; performance; short selling; side information; stock market; stock pairs; Information systems; Investments; Laboratories; Portfolios; Stock markets; Tin;
Conference_Titel :
Information Theory, 2000. Proceedings. IEEE International Symposium on
Conference_Location :
Sorrento
Print_ISBN :
0-7803-5857-0
DOI :
10.1109/ISIT.2000.866530
