arXiv
Open Access
2014
Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem
Vladimir V'yugin
Abstrak
We present a method for constructing the log-optimal portfolio using the well-calibrated forecasts of market values. Dawid's notion of calibration and the Blackwell approachability theorem are used for computing well-calibrated forecasts. We select a portfolio using this "artificial" probability distribution of market values. Our portfolio performs asymptotically at least as well as any stationary portfolio that redistributes the investment at each round using a continuous function of side information. Unlike in classical mathematical finance theory, no stochastic assumptions are made about market values.
Penulis (1)
V
Vladimir V'yugin
Akses Cepat
Informasi Jurnal
- Tahun Terbit
- 2014
- Bahasa
- en
- Sumber Database
- arXiv
- Akses
- Open Access ✓