Universal portfolios generated by an inequality involving the Kullback-Leibler and chi-square divergences
An inequality involving the Kullback-Leibler and chi-square divergences is used to generate new universal portfolios for investment. The stationary vector of an objective function is determined for the purpose of deciding the next-day portfolio given the current-day portfolio and the current-day pri...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2021-01-01
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| Series: | ITM Web of Conferences |
| Online Access: | https://www.itm-conferences.org/articles/itmconf/pdf/2021/01/itmconf_icmsa2021_02003.pdf |