Constant Markov Portfolio and its application to universal portfolio with side information

Mariko Tsurusaki, Jun'ichi Takeuchi

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We analyze properties of Constant Markov Portfolio (CMP), which we proposed as a generalized notion of Constantly Rebalanced Portfolio (CRP) in 2011, and present its generalization. In particular, we show the algorithm for exact computation of the Bayesian strategy for CMP by extending the algorithm for CRP given by Cover & Ordentlich in 1996. Further, we propose a generalization of CMP in order to design a strategy which employs the option of cash as side information. We show an efficient approximation algorithm to compute the universal strategy for the model based on EM algorithm.

Original languageEnglish
Title of host publication2012 IEEE International Symposium on Information Theory Proceedings, ISIT 2012
Pages1623-1627
Number of pages5
DOIs
Publication statusPublished - Oct 22 2012
Event2012 IEEE International Symposium on Information Theory, ISIT 2012 - Cambridge, MA, United States
Duration: Jul 1 2012Jul 6 2012

Publication series

NameIEEE International Symposium on Information Theory - Proceedings

Other

Other2012 IEEE International Symposium on Information Theory, ISIT 2012
CountryUnited States
CityCambridge, MA
Period7/1/127/6/12

All Science Journal Classification (ASJC) codes

  • Theoretical Computer Science
  • Information Systems
  • Modelling and Simulation
  • Applied Mathematics

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