Related papers: High order universal portfolios
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 a family of portfolio strategies with the aim of achieving the asymptotic growth rate of the best one. The idea behind Cover's universal portfolio is to build a wealth-weighted average which can be viewed as a buy-and-hold…
We study T. Cover's rebalancing option (Ordentlich and Cover 1998) under discrete hindsight optimization in continuous time. The payoff in question is equal to the final wealth that would have accrued to a $\$1$ deposit into the best of…
We enhance the Universal Portfolio Shrinkage Approximator (UPSA) of Kelly et al. (2023) by making it more robust with respect to estimation noise and covariate shift. UPSA optimizes the realized Sharpe ratio using a relatively small…
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…
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…
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)…
This work shows several direct and recursive constructions of ordered covering arrays using projection, fusion, column augmentation, derivation, concatenation and cartesian product. Upper bounds on covering codes in NRT spaces are also…
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…
In this article, we study the generalized modern portfolio theory, with utility functions admitting higher-order cumulants. We establish that under certain genericity conditions, the utility function has a constant number of complex…
This paper solves the dynamic portfolio choice problem. Using an explicit solution with a power utility, we construct a bridge between a continuous and discrete VAR model to assess portfolio sensitivities. We find, from a well analyzed…
Bin covering is a dual version of classic bin packing. Thus, the goal is to cover as many bins as possible, where covering a bin means packing items of total size at least one in the bin. For online bin covering, competitive analysis fails…
In this paper, we propose a machine learning algorithm for time-inconsistent portfolio optimization. The proposed algorithm builds upon neural network based trading schemes, in which the asset allocation at each time point is determined by…
With the improvement of computer performance and the development of GPU-accelerated technology, trading with machine learning algorithms has attracted the attention of many researchers and practitioners. In this research, we propose a novel…
We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…
The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are considered and capital requirements can be…
The first moment and second central moments of the portfolio return, a.k.a. mean and variance, have been widely employed to assess the expected profit and risk of the portfolio. Investors pursue higher mean and lower variance when designing…
In the past decade many researchers have proposed new optimal portfolio selection strategies to show that sophisticated diversification can outperform the na\"ive 1/N strategy in out-of-sample benchmarks. Providing an updated review of…
Exceptional points (EPs), at which both eigenvalues and eigenvectors coalesce, are ubiquitous and unique features of non-Hermitian systems. Second-order EPs are by far the most studied due to their abundance, requiring only the tuning of…
This paper explores the effectiveness of high-frequency options trading strategies enhanced by advanced portfolio optimization techniques, investigating their ability to consistently generate positive returns compared to traditional long or…