Universal Portfolios

Mathematical Finance

Volumn 1, Issue 1, 1991, Pages 1-29

  Cover, Thomas M ^a  

^a STANFORD UNIVERSITY   (United States)

Author keywords

performance weighting; portfolio selection; rebalancing; robust trading strategies

Indexed keywords

EID: 84986753988     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.1991.tb00002.x     Document Type: Article

References (25)

1. Asymptotic Optimally and Asymptotic Equipartition Properties of Log‐Optimum Investment
2. A Bound on the Financial Value of Information
3. Competitive Optimality of Logarithmic Investment
4. Game‐Theoretic Optimal Portfolios
5. Controlled Random Walks
6. An Analog of the Minimax Theorem for Vector Payoffs
7. Optimal Gambling Systems for Favorable Games
8. An Algorithm for Maximizing Expected Log Investment Return
9. Empirical Bayes Stock Market Portfolios
10. A Convergent Gambling Estimate of the Entropy of English
11. Optimal Strategies for Repeated Games
12. A Characterization of Optimal Multiperiod Portfolio Policies
13. Asymptotic Solutions of the Compound Decision Problem
14. A New Interpretation of Information Rate
15. Portfolio Selection
16. Investment for the Long Run: New Evidence for an Old Rule
17. Fallacy of the Log‐Normal Approximation to Optimal Portfolio Decision‐Making over Many Periods
18. Optimal Multiperiod Portfolio Policies
19. Asymptotically Subminimax Solutions of Compound Statistical Decision Problems
20. General Proof that Diversification Pays
21. Lifetime Portfolio Selection by Dynamic Stochastic Programming
22. Why We Should Not Make Mean Log of Wealth Big Though Years to Act Are Long
23. A Simplified Model for Portfolio Analysis
24. Portfolio Choice and the Kelly Criterion