DocumentCode
2388209
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
fYear
2000
fDate
2000
Firstpage
233
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;
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.2000.866531
Filename
866531
Link To Document