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

Mariko Tsurusaki, Jun'ichi Takeuchi

研究成果: Chapter in Book/Report/Conference proceedingConference contribution

抄録

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.

本文言語英語
ホスト出版物のタイトル2012 IEEE International Symposium on Information Theory Proceedings, ISIT 2012
ページ1623-1627
ページ数5
DOI
出版ステータス出版済み - 10 22 2012
イベント2012 IEEE International Symposium on Information Theory, ISIT 2012 - Cambridge, MA, 米国
継続期間: 7 1 20127 6 2012

出版物シリーズ

名前IEEE International Symposium on Information Theory - Proceedings

その他

その他2012 IEEE International Symposium on Information Theory, ISIT 2012
Country米国
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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