375
Views
11
CrossRef citations to date
0
Altmetric
Original Articles

Constant rebalanced portfolios and side-information

, &
Pages 161-173 | Received 08 Feb 2006, Accepted 06 Dec 2006, Published online: 08 May 2007

References

  • Algoet , PH and Cover , TM . 1988 . Asymptotic optimality and asymptotic equipartition properties of log-optimum investment. . Ann. Probabil. , 2 : 876 – 898 .
  • Auer , P and Warmuth , MK . 1995 . Tracking the best disjunction . 36th Annual Symposium on Foundations of Computer Science. , : 312 – 321 .
  • Bell , R and Cover , TM . 1980 . Competitive optimality of logarithmic investment. . Math. Oper. Res. , 5 : 161 – 166 .
  • Bernardo , JM and Smith , AFM . 2000 . Bayesian Theory , New York : Wiley .
  • Blum , A and Kalai , A . 1998 . Universal portfolios with and without transaction costs. . Mach. Learn. , 30 : 23 – 30 .
  • Borodin , A , El-Yaniv , R. and Gogan , V . 2000 . “ On the competitive theory and practice of portfolio selection ” . In Proceedings of the Latin American Theoretical Informatics Latin
  • Browne , S . 1998 . The return on investment from proportional portfolio strategies. . Adv. Appl. Probabil. , 30 : 216 – 238 .
  • Congdon , P . 2003 . Applied Bayesian Modelling , New York : Wiley .
  • Cover , T.M . 1991a . Elements of Information Theory , New York : Wiley . Chapter 15
  • Cover , TM . 1991b . Universal portfolios . Math. Finan. , 1 : 1 – 29 .
  • Cover , TM and Ordentlich , E . 1996 . Universal portfolios with side information. . IEEE Trans. Inf. Theory , 42 : 348 – 363 .
  • Duda , RO and Hart , P.E . 1973 . Pattern Classification and Scene Analysis , New York : Wiley .
  • Duda , RO , Hart , PE and Stork , D.G . 2001 . Pattern Classification , New York : Wiley-Interscience .
  • Evstigneev , IV and Schenk-Hoppè , KR . 2002 . From rags to riches: on constant proportions investment strategies . J. Theor. Appl. Finan. , 5 : 563 – 573 .
  • Gaivoronski , A and Stella , F . 2000 . A stochastic nonstationary optimization for finding universal portfolios. . Ann. Oper. Res. , 100 : 165 – 188 .
  • Gaivoronski , A and Stella , F . 2003 . On-line portfolio selection using stochastic programming. . J. Econ. Dynam. Contr. , 27 : 1013 – 1014 .
  • Han , J and Kamber , M.T . 2001 . Data Mining: Concepts and Techniques , San Francisco, CA : Morgan-Kaufmann .
  • Helmbold , DP , Schapire , RE , Singer , Y and Warmuth , MK . 1996 . On-line portfolio selection using multiplicative updates, in . International Conference on Machine Learning. , : 243 – 251 .
  • Herbster , M and Warmuth , M . 1995 . Tracking the best expert . 12th International Conference on Machine Learning. , : 286 – 294 .
  • Markowitz , H . 1952 . Portfolio selection. . J. Finan. , 7 : 77 – 91 .
  • Singer , Y . 1997 . Switching portfolios. . J. Neural Syst. , 8 : 445 – 455 .
  • Vovk , V and Watkins , C . 1998 . Universal portfolio selection . 11th Annual Conference on Computational Learning Theory. , : 12 – 23 .
  • Zaffalon , M . 2002 . The naive credal classifier. . J. Statist. Plann. Infer. , 105 : 5 – 21 .
  • Zaffalon , M and Fagiuoli , E . 2003 . Tree-based credal networks for classification . Reliable Comput. , 9 : 487 – 509 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.