Universal portfolios with short sales and margin

IEEE International Symposium on Information Theory - Proceedings

Volumn , Issue , 1998, Pages 174-

  Cover, T ^a   Ordentlich, E ^b  

^a Stanford University   (United States)

^b HEWLETT PACKARD LABORATORIES   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

DIRICHLET; FIXED HORIZONS; MINIMAX REGRET; NON NEGATIVES; UNIVERSAL PORTFOLIOS;

INFORMATION THEORY;

EID: 84890411261     PISSN: 21578095     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ISIT.1998.708770     Document Type: Conference Paper

References (3)

1. T. COVER. Universal portfolios. Mathematical Finance, 1(1): 1-29, January 1991.
2. T. COVER, E. ORDENTLICH. Universal portfolios with side information. IEEE Transactions on Information Theory, 42 [2]:348-363, March 1996.
3. E. ORDENTLICH, T. COVER. The cost of achieving the best portfolio in hindsight. To appear Mathematics of Operations Research, 1998.