• DocumentCode
    1554282
  • Title

    Iterative nonparametric estimation of a log-optimal portfolio selection function

  • Author

    Walk, Harro ; Yakowitz, Sidney

  • Author_Institution
    Math. Inst. A, Stuttgart Univ., Germany
  • Volume
    48
  • Issue
    1
  • fYear
    2002
  • fDate
    1/1/2002 12:00:00 AM
  • Firstpage
    324
  • Lastpage
    333
  • Abstract
    Let stock market vectors form a stationary ergodic sequence. For fixed d ∈ N, a log-optimal portfolio selection function of the past d observed vectors is iteratively estimated on the basis of a training sequence by use of gradients and nonparametric regression. Strong consistency is obtained under a boundedness and α-mixing condition without further assumptions on the distribution
  • Keywords
    estimation theory; iterative methods; optimisation; sequences; stock markets; α-mixing condition; boundedness; gradients; iterative nonparametric estimation; log-optimal portfolio selection function; nonparametric regression; observed vectors; stationary ergodic sequence; stock market vectors; strong consistency; training sequence; Convergence; Industrial engineering; Industrial training; Investments; Kernel; Neural networks; Polynomials; Portfolios; Stochastic processes; Stock markets;
  • fLanguage
    English
  • Journal_Title
    Information Theory, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9448
  • Type

    jour

  • DOI
    10.1109/18.971764
  • Filename
    971764