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Abstract: A constant rebalanced portfolio is an investment strategy which keeps the same distribution of wealth among a set of stocks from period to period. Recently there has been work on on-line investment strategies that are competitive with the best constant rebalanced portfolio determined in hindsight (Cover, 1991; Helmbold et al., 1996; Cover and Ordentlich, 1996a; Cover and Ordentlich, 1996b; Ordentlich and Cover, 1996; Cover, 1996). For the universal algorithm of Cover (Cover, 1991), we provide a ... (Update)
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0.4: Universal Portfolios with Side Information - Cover, Ordentlich (1996) (Correct)
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13: Universal portfolios with side information - Cover, Ordentlich - 1996
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BibTeX entry: (Update)
A. Blum and A. Kalai. Universal portfolios with and without transaction costs. In Proceedings of the 10th Annual Conference on Computational Learning Theory, pages 309--313, 1997. http://citeseer.ist.psu.edu/blum97universal.html More
@inproceedings{ blum97universal,
author = "Blum and Kalai",
title = "Universal Portfolios with and without Transaction Costs",
booktitle = "{COLT}: Proceedings of the Workshop on Computational Learning Theory, Morgan Kaufmann Publishers",
year = "1997",
url = "citeseer.ist.psu.edu/blum97universal.html" }
Citations (may not include all citations):133 Aggregating strategies (context) - Vovk - 1990
118 How to use expert advice (context) - Cesa-Bianchi, Freund et al. - 1993
88 Exponentiated gradient versus gradient descent for linear pr.. - Kivinen, Warmuth - 1994
74 Mistake Bounds and Logarithmic Linear-thresholdLearning Algo.. (context) - Littlestone - 1989
55 A game of prediction with expert advice - Vovk - 1995
34 Universal portfolios with side information - Cover, Ordentlich - 1996
33 Learning probabilistic prediction functions (context) - DeSantis, Markowsky et al. - 1988
27 Tight worst-case loss bounds for predicting with expert advi.. - Haussler, Kivinen et al. - 1994
26 A new interpretation of information rate (context) - Kelly - 1956
23 A comparison of new and old algorithms for a mixture estimat.. - Helmbold, Schapire et al. - 1995
23 Universal portfolios - Cover - 1991
19 line portfolio selection using multiplicative updates - Helmbold, Schapire et al. - 1996
18 A randomization rule for selecting forecasts (context) - Foster, Vohra - 1993
18 Portfolio Selection with Transaction Costs (context) - Davis, Norman - 1990
6 Universal data compression and portfolio selection (context) - Cover - 1996
5 Online portfolio selection (context) - Ordentlich, Cover - 1996
3 The Cost of Achieving the Best Portfolio in Hindsight (context) - Cover, Ordentlich - 1996
1 Regret in the On-line Decision Problem (context) - ON, MULTIPLE-INSTANCE et al. - 1995
The graph only includes citing articles where the year of publication is known.
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