DocumentCode
2467311
Title
Universal portfolios with short sales and margin
Author
Cover, Thomas ; Ordentlich, Erik
Author_Institution
Inf. Syst. Lab., Stanford Univ., CA, USA
fYear
1998
fDate
16-21 Aug 1998
Firstpage
174
Abstract
In the horizon-free universal portfolio and the fixed horizon minimax regret portfolio, the only allowed portfolios are those that allocate a nonnegative proportion of wealth to each of the assets. It was shown that a Dirichlet(1/2)-weighting of constant rebalanced portfolios was asymptotically minimax regret in growth rate and therefore universal. We extend these results to bounded stocks and portfolios allowing margin and short sales
Keywords
investment; minimax techniques; stock markets; Dirichlet(1/2)-weighting; assets; bounded stocks; constant rebalanced portfolios; fixed horizon minimax regret portfolio; growth rate; horizon-free universal portfolio; margin; minimax regret; short sales; universal portfolios; wealth; Finance; Information systems; Information theory; Laboratories; Marketing and sales; Milling machines; Minimax techniques; Polynomials; Portfolios; Tin;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Theory, 1998. Proceedings. 1998 IEEE International Symposium on
Conference_Location
Cambridge, MA
Print_ISBN
0-7803-5000-6
Type
conf
DOI
10.1109/ISIT.1998.708770
Filename
708770
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