Minimax regret portfolios for restricted stock sequences

IEEE International Symposium on Information Theory - Proceedings

Volumn , Issue , 2004, Pages 140-

  Cover, Thomas M ^a  

^a Stanford University   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

MINIMAX REGRET PORTFOLIOS; STOCK MARKETS; STOCK SEQUENCES; STOCK VECTORS;

CONSTRAINT THEORY; FUNCTIONS; INVESTMENTS; MATHEMATICAL MODELS; MATHEMATICAL OPERATORS; SALES; SET THEORY; THEOREM PROVING; VECTORS;

GAME THEORY;

EID: 5044251760     PISSN: 21578097     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (3)

1. Yu. M. Shtarkov, T. Tjalkens, and F. M. Willems. Multialphabet universal coding of memoryless sources. Problems of Information Transmission, 31:114-127, 1995.
2. E. Ordentlich and T. Cover. The cost of achieving the best portfolio in hindsight. Mathematics of Operations Research, 23(4):960-982, November 1998.
3. T. Cover and E. Ordentlich. Universal portfolios with short sales and margin (abstract). Proceedings of the IEEE International Symposium on Information Theory, Boston, Mass., August 1998.