DocumentCode
2622788
Title
Universal portfolios with memory
Author
Cover, Thomas M.
Author_Institution
Stanford Univ., CA, USA
fYear
1994
fDate
27 Jun-1 Jul 1994
Firstpage
34
Abstract
We find an adaptive finite memory portfolio selection algorithm that performs asymptotically as well as if we had known the optimal portfolio dependence on memory ahead of time
Keywords
adaptive estimation; commerce; stock markets; adaptive finite memory; portfolio selection algorithm; stock sequence; stocks; Contracts; Data compression; Finance; Investments; Portfolios; Stochastic processes; Stock markets;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Theory, 1994. Proceedings., 1994 IEEE International Symposium on
Conference_Location
Trondheim
Print_ISBN
0-7803-2015-8
Type
conf
DOI
10.1109/ISIT.1994.394937
Filename
394937
Link To Document