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 -