Universal portfolios generated by an inequality involving the Kullback-Leibler and chi-square divergences

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...

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Main Authors: Tan Choon Peng, Lee Yap Jia
Format: Article
Language:English
Published: EDP Sciences 2021-01-01
Series:ITM Web of Conferences
Online Access:https://www.itm-conferences.org/articles/itmconf/pdf/2021/01/itmconf_icmsa2021_02003.pdf
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spelling doaj-ba7db7338c184a52a0edfdad91f7788d2021-02-01T08:07:13ZengEDP SciencesITM Web of Conferences2271-20972021-01-01360200310.1051/itmconf/20213602003itmconf_icmsa2021_02003Universal portfolios generated by an inequality involving the Kullback-Leibler and chi-square divergencesTan Choon Peng0Lee Yap Jia1Department of Mathematical and Actuarial Sciences, Universiti Tunku Abdul Rahman, Jalan Sungai LongDepartment of Mathematical and Actuarial Sciences, Universiti Tunku Abdul Rahman, Jalan Sungai LongAn 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 price relative vector. The two-parameter portfolio is studied empirically by running the portfolio on selected stock-price data sets from the local stock exchange. It is demonstrated that the wealth of the investor can be increased by using the proposed universal portfolio.https://www.itm-conferences.org/articles/itmconf/pdf/2021/01/itmconf_icmsa2021_02003.pdf
collection DOAJ
language English
format Article
sources DOAJ
author Tan Choon Peng
Lee Yap Jia
spellingShingle Tan Choon Peng
Lee Yap Jia
Universal portfolios generated by an inequality involving the Kullback-Leibler and chi-square divergences
ITM Web of Conferences
author_facet Tan Choon Peng
Lee Yap Jia
author_sort Tan Choon Peng
title Universal portfolios generated by an inequality involving the Kullback-Leibler and chi-square divergences
title_short Universal portfolios generated by an inequality involving the Kullback-Leibler and chi-square divergences
title_full Universal portfolios generated by an inequality involving the Kullback-Leibler and chi-square divergences
title_fullStr Universal portfolios generated by an inequality involving the Kullback-Leibler and chi-square divergences
title_full_unstemmed Universal portfolios generated by an inequality involving the Kullback-Leibler and chi-square divergences
title_sort universal portfolios generated by an inequality involving the kullback-leibler and chi-square divergences
publisher EDP Sciences
series ITM Web of Conferences
issn 2271-2097
publishDate 2021-01-01
description 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 price relative vector. The two-parameter portfolio is studied empirically by running the portfolio on selected stock-price data sets from the local stock exchange. It is demonstrated that the wealth of the investor can be increased by using the proposed universal portfolio.
url https://www.itm-conferences.org/articles/itmconf/pdf/2021/01/itmconf_icmsa2021_02003.pdf
work_keys_str_mv AT tanchoonpeng universalportfoliosgeneratedbyaninequalityinvolvingthekullbackleiblerandchisquaredivergences
AT leeyapjia universalportfoliosgeneratedbyaninequalityinvolvingthekullbackleiblerandchisquaredivergences
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