On Data-Driven Log-Optimal Portfolio: A Sliding Window Approach
نویسندگان
چکیده
In this paper, we propose a data-driven sliding window approach to solve log-optimal portfolio problem. contrast many of the existing papers, leads trading strategy with time-varying weights rather than fixed constant weights. We show, by conducting various empirical studies, that possesses superior performance classical in sense having higher cumulative rate returns.
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ژورنال
عنوان ژورنال: IFAC-PapersOnLine
سال: 2022
ISSN: ['2405-8963', '2405-8971']
DOI: https://doi.org/10.1016/j.ifacol.2022.11.098