Jump to content

Universal portfolio algorithm

From Wikipedia, the free encyclopedia
This is an old revision of this page, as edited by Rodo82 (talk | contribs) at 23:32, 29 November 2012. The present address (URL) is a permanent link to this revision, which may differ significantly from the current revision.

The Universal portfolio algorithm is a portfolio selection algorithm from the field of machine learning and information theory. The algorithm learns adaptively from historical data and maximizes the log-optimal growth rate in the long run. It was firstly introduced by Thomas Cover (1991).