Title :
An adaptive algorithm for log-optimal portfolio and its theoretical analysis
Author :
Ye, Zhongxing ; Huang, Jianguo
Author_Institution :
Dept. of Appl. Math., Shanghai Jiaotong Univ., China
Abstract :
An adaptively random searching algorithm is proposed for log-optimal portfolio. Under reasonable conditions the convergence of this algorithm is shown. The numerical results using this algorithm for real data from Shanghai Stock Exchanges are satisfactory
Keywords :
adaptive systems; convergence of numerical methods; random processes; stock markets; Shanghai Stock Exchanges; adaptively random searching algorithm; convergence; log-optimal portfolio; numerical results; stock markets; theoretical analysis; Adaptive algorithm; Algorithm design and analysis; Books; Convergence; Finance; Investments; Mathematics; Portfolios; Stochastic processes; Stock markets;
Conference_Titel :
Information Theory, 2000. Proceedings. IEEE International Symposium on
Conference_Location :
Sorrento
Print_ISBN :
0-7803-5857-0
DOI :
10.1109/ISIT.2000.866531
