Title :
Max-min optimal investing
Author :
Ordentlich, Erik ; Cover, Thomas M.
Author_Institution :
Inf. Syst. Lab., Stanford Univ., CA, USA
Abstract :
We solve the problem of tracking the best constant rebalanced portfolio computed in hindsight in a max-min optimal sense and relate our results to the pricing of a new derivative security which might be called the hindsight allocation option. This option pays the return of one dollar invested in the best constant rebalanced portfolio computed in hindsight
Keywords :
costing; financial data processing; investment; minimax techniques; securities trading; best constant rebalanced portfolio tracking; max-min optimal investing; new derivative security pricing hindsight allocation option; Asset management; Investments; Portfolios; Pricing; Probability distribution; Protection; Security; Utility theory;
Conference_Titel :
Computational Intelligence for Financial Engineering, 1996., Proceedings of the IEEE/IAFE 1996 Conference on
Conference_Location :
New York City, NY
Print_ISBN :
0-7803-3236-9
DOI :
10.1109/CIFER.1996.501836
