Universal constant rebalanced portfolios with switching

ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings

Volumn 3, Issue , 2007, Pages

  Kozat, Suleyman S ^a   Singer, Andrew C ^b  

^a IBM RESEARCH   (United States)

^b UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

Author keywords

Adaptive signal processing; Bayes procedures; Finance

Indexed keywords

ARBITRARY SIDE-INFORMATION SEQUENCE; PRICE RELATIVE VECTORS; REBALANCED PORTFOLIO;

ADAPTIVE SYSTEMS; ALGORITHMS; BAYESIAN NETWORKS; DATA MINING; SIGNAL PROCESSING;

SEQUENTIAL SWITCHING;

EID: 34547530371     PISSN: 15206149     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ICASSP.2007.366883     Document Type: Conference Paper

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