Jump to content

Universal portfolio algorithm

Edit links
From Wikipedia, the free encyclopedia
This is an old revision of this page, as edited by BG19bot (talk | contribs) at 09:35, 10 March 2013 (WP:CHECKWIKI error fix for #61. Punctuation goes before References. Do general fixes if a problem exists. - using AWB). 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]

The algorithm rebalances the portfolio at the beginning of each trading period. At the beginning of the first trading period it starts with a naive diversification. In the following trading periods the portfolio composition depends on the historical total return of all possible constant-rebalanced portfolios.

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=543186046"