Bayesian interpretation of continuous-time universal portfolios

Journal of the Operations Research Society of Japan

Volumn 45, Issue 4, 2002, Pages 362-372

  Ishijima, Hiroshi ^a  

^a KEIO UNIVERSITY   (Japan)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33845201688     PISSN: 04534514     EISSN: None     Source Type: Journal    
DOI: 10.15807/jorsj.45.362     Document Type: Article

References (32)

1. R. Bellman and R. Kalaba: On the role of dynamic programming in statistical communication theory. IRE Transactions of the Professional Group on Information Theory, IT-3-3 (1957) 197-203.
2. A. Blum and A. Kalai: Universal portfolios with and without transaction costs. Machine Learning, 35-3 (1999) 193-205.
3. T.M. Cover and J.A. Thomas: Elements of Information Theory (John Wiley & Sons, 1990).
4. T.M. Cover: Universal portfolios. Mathematical Finance, 1 (1991) 1-29.
5. T.M. Cover and E. Ordentlich: Universal portfolios with side information. IEEE Transactions on Information Theory, IT-42 (1996) 348-363.
6. J.C. Cox, J.E. Ingersoll and S.A. Ross: A theory of the term structure of interest rates. Econometrica, 53 (1985) 385-408.
7. J. Cvitanié and I. Karatzas: Convex duality in constrained portfolio optimization. The Annals of Applied Probability, 2-4 (1992) 767-818.
8. J.B. Detemple: Asset pricing in a production economy with incomplete information. Journal of Finance, 41-2 (1986) 383-392.
9. J.B. Detemple: Further results on asset pricing with incomplete information. Journal of Economic Dynamics and Control, 15-3 (1991) 425-453.
10. M.U. Dothan and D. Feldman: Equilibrium interest rates and multiperiod bonds in a partially observable economy. Journal of Finance, 41-2 (1986) 369-382.
11. D. Feldman: Logarithmic preferences, myopic decisions, and incomplete information. Journal of Financial and Quantitative Analysis, 27-4 (1992) 619-630.
12. W.H. Fleming and R.W. Rishel: Deterministic and Stochastic Optimal Control (Springer-Verlag, 1975).
13. G. Gennotte: Optimal portfolio choice under incomplete information. Journal of Finance, 41-3 (1986) 733-746.
14. D.P. Helmbold, R.E. Schapire, Y. Singer, and M.K. Warmuth: On-line portfolio selection using multiplicative updates. Mathematical Finance, 8-4 (1998) 325-347.
15. T. Honda: Optimal portfolio choice for unobservable and regime-switching mean returns. Manuscript, (2000).
16. H. Ishijima: The dynamic portfolio management under incomplete information (Doctoral Dissertation, Tokyo Institute of Technology, 1999).
17. H. Ishijima: An empirical analysis on log-utility asset management. Asia-Pacific Financial Markets, 6-3 (1999) 253-273.
18. H. Ishijima and H. Shirakawa: The optimal log-utility asset management under incomplete information. Asia-Pacific Financial Markets, 7-2 (2000) 145-154.
19. F. Jamshidian: Asymptotically optimal portfolios. Mathematical Finance, 2 (1992) 131-150.
20. A. Kalai and S. Vempala: Efficient algorithms for universal portfolios. Proceedings of the 41st Annual Symposium on the Foundations of Computer Science, (2000).
21. I. Karatzas, J.P. Lehoczky and S.E. Shreve: Optimal portfolio and consumption decisions for a "small investor" on a Finite Horizon. SIAM J. Control and Optimization, 25-6 (1987) 1557-1586.
22. I. Karatzas and S. E. Shreve: Brownian Motion and Stochastic Calculus (Springer-Verlag, 1988).
23. I. Karatzas and X. Xue: A note on utility maximization under partial observations. Mathematical Finance, 1-2 (1991) 57-70.
24. I. Karatzas and X. Zhao: Bayesian adaptive portfolio optimization. Preprint, (1998).
25. Y. Kuwana: Certainty equivalence and logarithmic utilities in consumption/investment problems. Mathematical Finance, 5-4 (1995) 297-309.
26. P. Lakner: Utility maximization with partial information. Stochastic Processes and their Applications, 56 (1995) 247-273.
27. P. Lakner: Optimal trading strategy for an investor: The case of partial information. Stochastic Processes and their Applications, 76 (1998) 77-97.
28. R.S. Liptser and A.N. Shiryaev: Statistics of Random Processes II: Applications (Second Edition, Springer, 2001).
29. D.G. Luenberger: A preference foundation for log mean-variance criteria in portfolio choice problems. Journal of Economic Dynamics and Control, 17 (1993) 887-906.
30. R.C. Merton: Lifetime portfolio selection under uncertainty: The continuous-time case. Review of Economics and Statistics, 51 (1969) 247-257.
31. R.C. Merton: Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory, 3 (1971) 373-413.
32. J. Mossin: Optimal multiperiod portfolio policies. Journal of Business, 41 (1968) 215-229.