Bounds for universal portfolios with side information in a discretized market

来源 :IMS-China International Conference on Statistics and Probabi | 被引量 : 0次 | 上传用户:violence211
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  The study of Dirichlet-weighted universal portfolios with side information was initiated by Cover and Ordentlich (1996) with emphasis on the (1, 1,..., 1) and (1/2,1/2,.…, 1/2) universal portfolios.Bounds on the ratio of wealths achievable were derived for the parametric class of Dirichlet-weighted universal portfolios by Tan (2002).Two-stock beta-weighted universal portfolios were studied by Tan (2004) with respect to a discretized market.We extend this study to the parametric class of Dirichlet-weighted universal portfolios with side information in a discretized market.Bounds on the ratio of wealths achievable in the discretized and non-discretized markets will be compared.
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