On Data-Driven Log-Optimal Portfolio: A Sliding Window Approach
Portfolio Management
2023-03-22 v1 Systems and Control
Systems and Control
Optimization and Control
Computational Finance
Abstract
In this paper, we propose a data-driven sliding window approach to solve a log-optimal portfolio problem. In contrast to many of the existing papers, this approach leads to a trading strategy with time-varying portfolio weights rather than fixed constant weights. We show, by conducting various empirical studies, that the approach possesses a superior trading performance to the classical log-optimal portfolio in the sense of having a higher cumulative rate of returns.
Keywords
Cite
@article{arxiv.2206.12148,
title = {On Data-Driven Log-Optimal Portfolio: A Sliding Window Approach},
author = {Pei-Ting Wang and Chung-Han Hsieh},
journal= {arXiv preprint arXiv:2206.12148},
year = {2023}
}
Comments
To appear in the IFAC-PapersOnline (25th International Symposium on Mathematical Theory of Network and Systems)