Non UBC
DSpace
Ichiba, Tomoyuki
2015-03-14T06:17:49Z
2014-05-12
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.
https://circle.library.ubc.ca/rest/handle/2429/52390?expand=metadata
13 minutes
video/mp4
Author affiliation: University of California Santa Barbara
10.14288/1.0044542
eng
Unreviewed
Vancouver : University of British Columbia Library
Banff International Research Station for Mathematical Innovation and Discovery
Attribution-NonCommercial-NoDerivs 2.5 Canada
http://creativecommons.org/licenses/by-nc-nd/2.5/ca/
Faculty
BIRS Workshop Lecture Videos (Banff, Alta)
Mathematics
Game theory, economics, social and behavioral sciences
Probability theory and stochastic processes
Some Aspects of Universal Portfolios
Moving Image
http://hdl.handle.net/2429/52390