Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio
نویسندگان
چکیده
منابع مشابه
Cover’s Universal Portfolio, Stochastic Portfolio Theory and the Numéraire Portfolio
Cover’s celebrated theorem states that the long run yield of a properly chosen “universal” portfolio is as good as the long run yield of the best retrospectively chosen constant rebalanced portfolio. The “universality” pertains to the fact that this result is model-free, i.e., not dependent on an underlying stochastic process. We extend Cover’s theorem to the setting of stochastic portfolio the...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2018
ISSN: 0960-1627,1467-9965
DOI: 10.1111/mafi.12201