Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem
Artificial Intelligence
2015-06-30 v2 Portfolio Management
Abstract
We present a method for constructing the log-optimal portfolio using the well-calibrated forecasts of market values. Dawid's notion of calibration and the Blackwell approachability theorem are used for computing well-calibrated forecasts. We select a portfolio using this "artificial" probability distribution of market values. Our portfolio performs asymptotically at least as well as any stationary portfolio that redistributes the investment at each round using a continuous function of side information. Unlike in classical mathematical finance theory, no stochastic assumptions are made about market values.
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Cite
@article{arxiv.1410.5996,
title = {Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem},
author = {Vladimir V'yugin},
journal= {arXiv preprint arXiv:1410.5996},
year = {2015}
}
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15 pages