Title :
Universal portfolios with memory
Author :
Cover, Thomas M.
Author_Institution :
Stanford Univ., CA, USA
fDate :
27 Jun-1 Jul 1994
Abstract :
We find an adaptive finite memory portfolio selection algorithm that performs asymptotically as well as if we had known the optimal portfolio dependence on memory ahead of time
Keywords :
adaptive estimation; commerce; stock markets; adaptive finite memory; portfolio selection algorithm; stock sequence; stocks; Contracts; Data compression; Finance; Investments; Portfolios; Stochastic processes; Stock markets;
Conference_Titel :
Information Theory, 1994. Proceedings., 1994 IEEE International Symposium on
Conference_Location :
Trondheim
Print_ISBN :
0-7803-2015-8
DOI :
10.1109/ISIT.1994.394937
