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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University of British Columbia
2011
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ndltd-UBC-oai-circle.library.ubc.ca-2429-316522018-01-05T17:46:13Z Analysis of universal portfolios with and without side information Crouspeyre, Gilles 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 general case of N assets. This portfolio is usually the target the Universal Portfolio is aiming at. Once this is done, we look at how to construct the Universal Portfolio for the same N assets, and think about the optimal Dirichlet distribution the proportions of wealth invested should follow, in order to reach the optimal wealth. Finally, we proceed to an extensive numerical analysis and show the limits of the model. Science, Faculty of Mathematics, Department of Graduate 2011-02-23T00:58:23Z 2011-02-23T00:58:23Z 2007 Text Thesis/Dissertation http://hdl.handle.net/2429/31652 eng For non-commercial purposes only, such as research, private study and education. Additional conditions apply, see Terms of Use https://open.library.ubc.ca/terms_of_use. University of British Columbia |
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NDLTD |
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English |
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NDLTD |
| description |
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 general case of N assets. This portfolio is usually the target the Universal Portfolio is aiming at. Once this is done, we look at how to construct the Universal Portfolio for the same N assets, and think about the optimal Dirichlet distribution the proportions of wealth invested should follow, in order to reach the optimal wealth. Finally, we proceed to an extensive numerical analysis and show the limits of the model. === Science, Faculty of === Mathematics, Department of === Graduate |
| author |
Crouspeyre, Gilles |
| spellingShingle |
Crouspeyre, Gilles Analysis of universal portfolios with and without side information |
| author_facet |
Crouspeyre, Gilles |
| author_sort |
Crouspeyre, Gilles |
| title |
Analysis of universal portfolios with and without side information |
| title_short |
Analysis of universal portfolios with and without side information |
| title_full |
Analysis of universal portfolios with and without side information |
| title_fullStr |
Analysis of universal portfolios with and without side information |
| title_full_unstemmed |
Analysis of universal portfolios with and without side information |
| title_sort |
analysis of universal portfolios with and without side information |
| publisher |
University of British Columbia |
| publishDate |
2011 |
| url |
http://hdl.handle.net/2429/31652 |
| work_keys_str_mv |
AT crouspeyregilles analysisofuniversalportfolioswithandwithoutsideinformation |
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1718594503556726784 |