Analysis of universal portfolios with and without side information
In this paper, we want to analyze the concept of Universal Portfolio and to try it on some realistic data. In order to do so, we need first to write a complete version of one of the main results of T. Cover, Universal Portfolio's creator. Then, we study the constant rebalanced portfolio in a ge...
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| Language: | English |
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University of British Columbia
2011
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| Online Access: | http://hdl.handle.net/2429/31652 |