Knowledge (XXG)

Universal portfolio algorithm

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The algorithm rebalances the portfolio at the beginning of each trading period. At the beginning of the first trading period it starts with a naive diversification. In the following trading periods the portfolio composition depends on the historical total return of all possible constant-rebalanced
31:. The algorithm learns adaptively from historical data and maximizes the log-optimal growth rate in the long run. It was introduced by the late 106: 133: 138: 128: 32: 77: 28: 102: 69: 24: 36: 73: 122: 81: 96: 98:
Online Algorithms for the Portfolio Selection Problem
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is a portfolio selection algorithm from the field of
60:Cover, Thomas M. (1991). "Universal Portfolios". 8: 52: 7: 74:10.1111/j.1467-9965.1991.tb00002.x 14: 1: 21:universal portfolio algorithm 16:Portfolio selection algorithm 155: 95:Dochow, Robert (2016). 35:information theorist 62:Mathematical Finance 134:Algorithmic trading 101:. Springer Gabler. 33:Stanford University 139:Portfolio theories 29:information theory 146: 129:Machine learning 113: 112: 92: 86: 85: 57: 25:machine learning 154: 153: 149: 148: 147: 145: 144: 143: 119: 118: 117: 116: 109: 94: 93: 89: 59: 58: 54: 49: 37:Thomas M. Cover 17: 12: 11: 5: 152: 150: 142: 141: 136: 131: 121: 120: 115: 114: 107: 87: 51: 50: 48: 45: 15: 13: 10: 9: 6: 4: 3: 2: 151: 140: 137: 135: 132: 130: 127: 126: 124: 110: 108:9783658135270 104: 100: 99: 91: 88: 83: 79: 75: 71: 67: 63: 56: 53: 46: 44: 40: 38: 34: 30: 26: 22: 97: 90: 65: 61: 55: 43:portfolios. 41: 20: 18: 68:(1): 1–29. 123:Categories 47:References 82:219967240 105:  80:  78:S2CID 103:ISBN 27:and 19:The 70:doi 125:: 76:. 64:. 39:. 111:. 84:. 72:: 66:1

Index

machine learning
information theory
Stanford University
Thomas M. Cover
doi
10.1111/j.1467-9965.1991.tb00002.x
S2CID
219967240
Online Algorithms for the Portfolio Selection Problem
ISBN
9783658135270
Categories
Machine learning
Algorithmic trading
Portfolio theories

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