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Some Aspects of Universal Portfolios Ichiba, Tomoyuki
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.
Item Metadata
Title |
Some Aspects of Universal Portfolios
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Creator | |
Publisher |
Banff International Research Station for Mathematical Innovation and Discovery
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Date Issued |
2014-05-12
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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.
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Extent |
13 minutes
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Subject | |
Type | |
File Format |
video/mp4
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Language |
eng
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Notes |
Author affiliation: University of California Santa Barbara
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Series | |
Date Available |
2015-03-14
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Provider |
Vancouver : University of British Columbia Library
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Rights |
Attribution-NonCommercial-NoDerivs 2.5 Canada
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DOI |
10.14288/1.0044542
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URI | |
Affiliation | |
Peer Review Status |
Unreviewed
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Scholarly Level |
Faculty
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Rights URI | |
Aggregated Source Repository |
DSpace
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Item Media
Item Citations and Data
Rights
Attribution-NonCommercial-NoDerivs 2.5 Canada