DocumentCode :
2911729
Title :
A parameter-varying universal portfolio using a cyclic constrained-search algorithm
Author :
Choon Peng Tan ; Sook Theng Pang
Author_Institution :
Dept. of Math. & Actuarial Sci., Univ. Tunku Abdul Rahman, Kuala Lumpur, Malaysia
fYear :
2012
fDate :
6-9 Oct. 2012
Firstpage :
39
Lastpage :
45
Abstract :
The performance of the Dirichlet universal portfolio can be improved by varying the parameter vector periodically after a fixed number of days, which is known as a trading period. After a trading period, a new parametric vector is chosen using a cyclic constrained-search algorithm that improve upon the wealth achieved in the previous period. The algorithm is run on some selected stock -data sets from the local stock exchange. Empirically, it is shown that higher returns in wealth are achieved for the parameter-varying universal portfolio over the constant-parameter universal portfolio.
Keywords :
investment; search problems; stock markets; cyclic constrained search algorithm; local stock exchange; parameter varying universal portfolio; parameter vector; stock data sets; Portfolios; Vectors; Dirichlet universal portfolio; Investment wealth; parameter-varying universal portfolio;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Sustainable Utilization and Development in Engineering and Technology (STUDENT), 2012 IEEE Conference on
Conference_Location :
Kuala Lumpur
ISSN :
1985-5753
Print_ISBN :
978-1-4673-1649-1
Electronic_ISBN :
1985-5753
Type :
conf
DOI :
10.1109/STUDENT.2012.6408362
Filename :
6408362
Link To Document :
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