AbstractWe exhibit an algorithm for portfolio selection that asymptotically outperforms the best stock in the market. Let x i= (x i, x i2 ,…, x im )-super-t denote the performance of the stock market on day i, where x ii is the factor by which the jth stock increases on day i. Let b i= ( bi1 b i2 , b im )-super-t, b; ij > 0, b ij = 1, denote the proportion b ij of wealth invested in the "j" th stock on day i. Then S n= II i-super-n= bi-super-tx i is the factor by which wealth is increased in "n" trading days. Consider as a goal the wealth S n*= max b II i-super-n= 1 b-super-tx i that can be achieved by the best constant rebalanced portfolio chosen after the stock outcomes are revealed. It can be shown that Sn * exceeds the best stock, the Dow Jones average, and the value line index at time "n." In fact, S n* usually exceeds these quantities by an exponential factor. Let x 1, x 2, be an arbitrary sequence of market vectors. It will be shown that the nonanticipating sequence of portfolios db yields wealth such that , for every bounded sequence x 1, x 2…, and, under mild conditions, achieve Copyright 1991 Blackwell Publishers.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Wiley Blackwell in its journal Mathematical Finance.
Volume (Year): 1 (1991)
Issue (Month): 1 ()
Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Ormos, Mihály & Urbán, András & Zoltán, Tamás, 2009.
"Logoptimális portfóliók empirikus vizsgálata
[Empirical analysis of log-optimal portfolios]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(1), pages 1-18.
- Thorsten Hens & Terje Lensberg & Klaus Schenk-Hoppé & Peter Wöhrmann, 2011. "An evolutionary explanation of the value premium puzzle," Journal of Evolutionary Economics, Springer, vol. 21(5), pages 803-815, December.
- MacLean, Leonard C. & Sanegre, Rafael & Zhao, Yonggan & Ziemba, William T., 2004. "Capital growth with security," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 937-954, February.
- Stella, Fabio & Ventura, Alfonso, 2010.
"Defensive online portfolio selection,"
33279, University Library of Munich, Germany.
- Fabio Stella & Alfonso Ventura, 2011. "Defensive online portfolio selection," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 2(1/2), pages 88-105.
- Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2003.
"Evolutionary Stability of Portfolio Rules in Incomplete Markets,"
03-03, University of Copenhagen. Department of Economics.
- Hens, Thorsten & Schenk-Hoppe, Klaus Reiner, 2005. "Evolutionary stability of portfolio rules in incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 43-66, February.
- Vajda, István & Ottucsák, György, 2006.
[Empirical portfolio strategies]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 624-640.
- Bin Li & Steven C. H. Hoi, 2012. "Online Portfolio Selection: A Survey," Papers 1212.2129, arXiv.org, revised May 2013.
- Dokuchaev, N. G. & Savkin, Andrey V., 2004. "Universal strategies for diffusion markets and possibility of asymptotic arbitrage," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 409-419, June.
- Foster, Dean P. & Vohra, Rakesh, 1999. "Regret in the On-Line Decision Problem," Games and Economic Behavior, Elsevier, vol. 29(1-2), pages 7-35, October.
- Kumon, Masayuki & Takemura, Akimichi & Takeuchi, Kei, 2011. "Sequential optimizing strategy in multi-dimensional bounded forecasting games," Stochastic Processes and their Applications, Elsevier, vol. 121(1), pages 155-183, January.
- Gaivoronski, Alexei A. & Stella, Fabio, 2003. "On-line portfolio selection using stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1013-1043, April.
- Bin Li & Steven C. H. Hoi, 2012. "On-Line Portfolio Selection with Moving Average Reversion," Papers 1206.4626, arXiv.org.
- Kei Takeuchi & Masayuki Kumon & Akimichi Takemura, 2007. "A new formulation of asset trading games in continuous time with essential forcing of variation exponent," Papers 0708.0275, arXiv.org, revised Jan 2010.
- A. Borodin & R. El-Yaniv & V. Gogan, 2011. "Can We Learn to Beat the Best Stock," Papers 1107.0036, arXiv.org.
- Parkes, David C. & Huberman, Bernardo A., 2001. "Multiagent Cooperative Search for Portfolio Selection," Games and Economic Behavior, Elsevier, vol. 35(1-2), pages 124-165, April.
- Soumik Pal & Ting-Kam Leonard Wong, 2013. "Energy, entropy, and arbitrage," Papers 1308.5376, arXiv.org.
- Masayuki Kumon & Jing Li & Akimichi Takemura & Kei Takeuchi, 2012. "Bayesian logistic betting strategy against probability forecasting," Papers 1204.3496, arXiv.org.
- Yoram Singer, 2013. "Switching Portfolios," Papers 1301.7413, arXiv.org.
- Eckhard Platen & Renata Rendek, 2010. "Approximating the Numeraire Portfolio by Naive Diversification," Research Paper Series 281, Quantitative Finance Research Centre, University of Technology, Sydney.
- Dokuchaev, Nikolai G. & Savkin, Andrey V., 2002. "A bounded risk strategy for a market with non-observable parameters," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 243-254, April.
- Luo, Yong & Zhu, Bo & Tang, Yong, 2014. "Simulated annealing algorithm for optimal capital growth," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 408(C), pages 10-18.
- Freund, Yoav & Schapire, Robert E., 1999. "Adaptive Game Playing Using Multiplicative Weights," Games and Economic Behavior, Elsevier, vol. 29(1-2), pages 79-103, October.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.