DocumentCode
2388197
Title
Performance of universal portfolios in the stock market
Author
Cover, Tom ; Julian, David
Author_Institution
Inf. Syst. Lab., Stanford Univ., CA, USA
fYear
2000
fDate
2000
Firstpage
232
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Theory, 2000. Proceedings. IEEE International Symposium on
Conference_Location
Sorrento
Print_ISBN
0-7803-5857-0
Type
conf
DOI
10.1109/ISIT.2000.866530
Filename
866530
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