Jump to content

Universal portfolio algorithm

Edit links
From Wikipedia, the free encyclopedia
This is an old revision of this page, as edited by 134.96.42.113 (talk) at 09:56, 30 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 M. Cover[1].

References

  1. ^ Cover, Thomas M. (1991). "Universal Portfolios". Mathematical Finance. 1 (1): 1–29.
Retrieved from "https://en.wikipedia.org/w/index.php?title=Universal_portfolio_algorithm&oldid=525678190"