Universal portfolios via context trees

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

Volumn , Issue , 2008, Pages 2093-2096

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

^a KOÇ UNIVERSITY   (Turkey)

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

Author keywords

Context tree; Investment; Piecewise models; Portfolio; Universal

Indexed keywords

ACOUSTICS; BOOLEAN FUNCTIONS; COSTS; INVESTMENTS; SIGNAL PROCESSING; SPEECH; VECTORS;

CONTEXT TREE; INVESTMENT; PIECEWISE MODELS; PORTFOLIO; UNIVERSAL;

TREES (MATHEMATICS);

EID: 51449083099     PISSN: 15206149     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ICASSP.2008.4518054     Document Type: Conference Paper

References (8)

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8. S. S. Kozat, A. C. Singer, and A. J. Bean, "Universal portfolios with context-trees," to be submitted to IEEE Trans. on Sig. Proc., 2007.