A Note on Universal Bilinear Portfolios
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 hindsight by considering the best bilinear trading strate...
-д хадгалсан:
| Үндсэн зохиолч: | |
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| Формат: | Artigo |
| Хэл сонгох: | Inglês |
| Хэвлэсэн: |
MDPI AG
2021-02-01
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| Цуврал: | International Journal of Financial Studies |
| Нөхцлүүд: | |
| Онлайн хандалт: | https://www.mdpi.com/2227-7072/9/1/11 |
| Шошгууд: |
Шошго байхгүй, Энэхүү баримтыг шошголох эхний хүн болох!
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