Universal portfolio using the best current-run parameter
The mixture-current-run universal portfolio introduced by Tan and Lim can extract the best daily wealth when it is implemented on different types of universal portfolios like the Helmbold and chi-square divergence universal portfolios. In this paper, we demonstrate another application of the mixture...
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| Format: | Journal |
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MATEMATIKA, UTM Centre for Industrial and Applied Mathematics (UTM-CIAM), Universiti Teknologi Malaysia
2013
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| Online Access: | http://www.myjurnal.my/public/article-view.php?id=78057 |