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Title	Some Aspects of Universal Portfolios
Creator	Ichiba, Tomoyuki
Publisher	Banff International Research Station for Mathematical Innovation and Discovery
Date Issued	2014-05-12
Description	We discuss Cover\'s universal portfolios in the context of Stochastic Portfolio Theory. By enlarging the class of portfolio generating functions, we see universal portfolios are generated by functions, given excess growth rates of constant rebalanced portfolios. These generating functions and resulting universal portfolios can be represented as integrations with respect to tilted version of maximal entropy measure. In this way we may answer one of the open questions posed by Fernholz & Karatzas (2009). With analyses of concentration of measures we evaluate performance of universal portfolios. Finally, we discuss universal portfolios under large equity market models.
Extent	13 minutes
Subject	Mathematics Game theory, economics, social and behavioral sciences Probability theory and stochastic processes
Type	Moving Image
FileFormat	video/mp4
Language	eng
Notes	Author affiliation: University of California Santa Barbara
Series	BIRS Workshop Lecture Videos (Banff, Alta)
Date Available	2015-03-14
Provider	Vancouver : University of British Columbia Library
Rights	Attribution-NonCommercial-NoDerivs 2.5 Canada
DOI	10.14288/1.0044542
URI	http://hdl.handle.net/2429/52390
Affiliation	Non UBC
Peer Review Status	Unreviewed
Scholarly Level	Faculty
Rights URI	http://creativecommons.org/licenses/by-nc-nd/2.5/ca/
AggregatedSourceRepository	DSpace

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