- Library Home /
- Search Collections /
- Open Collections /
- Browse Collections /
- BIRS Workshop Lecture Videos /
- Some Aspects of Universal Portfolios
Open Collections
BIRS Workshop Lecture Videos
Featured Collection
BIRS Workshop Lecture Videos
Some Aspects of Universal Portfolios Ichiba, Tomoyuki 2014-05-12
mp4
Page Metadata
Item Metadata
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 |
Download
- Media
- 48630-201405121745-Ichiba_lrv.mp4 [ 31.41MB ]
- Metadata
- JSON: 48630-1.0044542.json
- JSON-LD: 48630-1.0044542-ld.json
- RDF/XML (Pretty): 48630-1.0044542-rdf.xml
- RDF/JSON: 48630-1.0044542-rdf.json
- Turtle: 48630-1.0044542-turtle.txt
- N-Triples: 48630-1.0044542-rdf-ntriples.txt
- Original Record: 48630-1.0044542-source.json
- Citation
- 48630-1.0044542.ris
Cite
Citation Scheme:
Usage Statistics
Share
Embed
Customize your widget with the following options, then copy and paste the code below into the HTML
of your page to embed this item in your website.
<div id="ubcOpenCollectionsWidgetDisplay">
<script id="ubcOpenCollectionsWidget"
src="{[{embed.src}]}"
data-item="{[{embed.item}]}"
data-collection="{[{embed.collection}]}"
data-metadata="{[{embed.showMetadata}]}"
data-width="{[{embed.width}]}"
data-media="{[{embed.selectedMedia}]}"
async >
</script>
</div>

https://iiif.library.ubc.ca/presentation/dsp.48630.1-0044542/manifest