Title :
An investigation of log-optimization and stock allocation strategy on large cap U.S. equities
Author :
Wegner, Stephen ; Pascoe, Andrew ; Turner, Robbie ; Flesher, Paxton ; Negash, Misael ; Meadows, Scott ; Rains, Eric ; Beling, Peter ; Lark, James
Author_Institution :
Dept. of Syst. & Inf. Eng., Virginia Univ., Virginia, VA
Abstract :
This paper investigates the benefits associated with log-optimal asset allocation. The approach is restricted in an effort to apply mathematical models in ways that can be implemented practically. Historical U.S. stock market data were used to compare log-optimally weighted portfolios with the S&P 100 Index Fund which uses a capitalization weighting method.
Keywords :
optimisation; stock markets; U.S. equities; log-optimal asset allocation; mathematical models; stock allocation strategy; stock market; Design engineering; Equations; Investments; Performance analysis; Portfolios; Rain; Stock markets; Systems engineering and theory; Testing; Utility theory;
Conference_Titel :
Systems and Information Engineering Design Symposium, 2008. SIEDS 2008. IEEE
Conference_Location :
Charlottesville, VA
Print_ISBN :
978-1-4244-2365-1
Electronic_ISBN :
978-1-4244-2366-8
DOI :
10.1109/SIEDS.2008.4559710
