Year: 1996
Type: conference-paper
Abstract: We find an on-line portfolio selection strategy which minimizes the worst case regret with respect to the growth rate of wealth achieved by the best off-line optimized constant rebalanced portfolio.The resulting regret is compared to that of the infinite horizon Dirichlet-weighted universal portfolio.Both strategies track the performance of the best off-line constant rebalanced portfolio to first order in the exponent.1
Source: Conference on Learning Theory
Authors: Erik Ordentlich, Thomas M. Cover
Institution: Stanford University
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W2052215974
