Related papers: Cover's Rebalancing Option With Discrete Hindsight…
This paper prices and replicates the financial derivative whose payoff at $T$ is the wealth that would have accrued to a $\$1$ deposit into the best continuously-rebalanced portfolio (or fixed-fraction betting scheme) determined in…
This paper derives a robust on-line equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the…
This note provides a neat and enjoyable expansion and application of the magnificent Ordentlich-Cover theory of "universal portfolios." I generalize Cover's benchmark of the best constant-rebalanced portfolio (or 1-linear trading strategy)…
In a pathbreaking paper, Cover and Ordentlich (1998) solved a max-min portfolio game between a trader (who picks an entire trading algorithm, $\theta(\cdot)$) and "nature," who picks the matrix $X$ of gross-returns of all stocks in all…
In the problem of online portfolio selection as formulated by Cover (1991), the trader repeatedly distributes her capital over $ d $ assets in each of $ T > 1 $ rounds, with the goal of maximizing the total return. Cover proposed an…
Cover's celebrated theorem states that the long run yield of a properly chosen "universal" portfolio is as good as the long run yield of the best retrospectively chosen constant rebalanced portfolio. The "universality" pertains to the fact…
Consider betting against a sequence of data in $[0,1]$, where one is allowed to make any bet that is fair if the data have a conditional mean $m_0 \in (0,1)$. Cover's universal portfolio algorithm delivers a worst-case regret of $O(\ln n)$…
I juxtapose Cover's vaunted universal portfolio selection algorithm (Cover 1991) with the modern representation (Qian 2016; Roncalli 2013) of a portfolio as a certain allocation of risk among the available assets, rather than a mere…
A constant rebalanced portfolio is an asset allocation algorithm which keeps the same distribution of wealth among a set of assets along a period of time. Recently, there has been work on on-line portfolio selection algorithms which are…
In this work, we study the optimal discretization error of stochastic integrals, in the context of the hedging error in a multidimensional It\^{o} model when the discrete rebalancing dates are stopping times. We investigate the convergence,…
This paper introduces a novel methodology for the pricing and management of share buyback contracts, overcoming the limitations of traditional optimal control methods, which frequently encounter difficulties with high-dimensional state…
In this article, we introduce an algorithm called Backward Hedging, designed for hedging European and American options while considering transaction costs. The optimal strategy is determined by minimizing an appropriate loss function, which…
We consider the hedging error of a derivative due to discrete trading in the presence of a drift in the dynamics of the underlying asset. We suppose that the trader wishes to find rebalancing times for the hedging portfolio which enable him…
For $n$ assets and discrete-time rebalancing, the probability to complete a given schedule of investments and withdrawals is maximized over progressively measurable portfolio weight functions. Applications consider two assets, namely the…
This paper considers the problem of constructing a confidence sequence, which is a sequence of confidence intervals that hold uniformly over time, for estimating the mean of bounded real-valued random processes. This paper revisits the…
We study optimal investment in a financial market having a finite number of assets from a signal processing perspective. We investigate how an investor should distribute capital over these assets and when he should reallocate the…
This paper investigates a continuous-time portfolio optimization problem with the following features: (i) a no-short selling constraint; (ii) a leverage constraint, that is, an upper limit for the sum of portfolio weights; and (iii) a…
We provide a simple and straightforward approach to a continuous-time version of Cover's universal portfolio strategies within the model-free context of F\"ollmer's pathwise It\^o calculus. We establish the existence of the universal…
In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the…
We propose a universal end-to-end framework for portfolio optimization where asset distributions are directly obtained. The designed framework circumvents the traditional forecasting step and avoids the estimation of the covariance matrix,…