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Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio
Cover's celebrated theorem states that the long‐run yield of a properly chosen “universal” portfolio is almost as good as that of the best retrospectively chosen constant rebalanced portfolio. The “universality” refers to the fact that this result is model‐free, that is, not dependent on an und...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
John Wiley and Sons Inc.
2018
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6618251/ https://www.ncbi.nlm.nih.gov/pubmed/31341352 http://dx.doi.org/10.1111/mafi.12201 |