TY - GEN

T1 - Constant Markov Portfolio and its application to universal portfolio with side information

AU - Tsurusaki, Mariko

AU - Takeuchi, Jun'ichi

PY - 2012/10/22

Y1 - 2012/10/22

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=84867547843&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84867547843&partnerID=8YFLogxK

U2 - 10.1109/ISIT.2012.6283550

DO - 10.1109/ISIT.2012.6283550

M3 - Conference contribution

AN - SCOPUS:84867547843

SN - 9781467325790

T3 - IEEE International Symposium on Information Theory - Proceedings

SP - 1623

EP - 1627

BT - 2012 IEEE International Symposium on Information Theory Proceedings, ISIT 2012

T2 - 2012 IEEE International Symposium on Information Theory, ISIT 2012

Y2 - 1 July 2012 through 6 July 2012

ER -