arXiv research

Develops pathwise analysis for log-optimal portfolios using rough paths theory.

This paper shows how to combine optimal tests into log-optimal processes.

Proposes a sliding window method for better portfolio trading.

This paper addresses the log-optimal portfolio for a general semimartingale model. The most advanced literature on the topic elaborates existence and characterization of this portfolio under no-free-lunch-with-vanishing-risk assumption (NFLVR). There are many financial models violating NFLVR, while admitting the log-op…

Paper proposes a method to solve log-optimal portfolios under ambiguous return distributions.

We proposed a new Portfolio Management method termed as Robust Log-Optimal Strategy (RLOS), which ameliorates the General Log-Optimal Strategy (GLOS) by approximating the traditional objective function with quadratic Taylor expansion. It avoids GLOS's complex CDF estimation process,hence resists the "Butterfly Effect" …

Investigates how rebalancing frequency and transaction costs affect log-optimal portfolios.

The paper analyzes log-optimal portfolios in markets with random time events.

This paper shows a buy-and-hold strategy is asymptotically log-optimal for a market with a dominant asset.

Study online monotone density estimation with expert aggregation and log-optimal calibration.

Survival strategies in a market with self-determined prices are closely tied to log-optimal investment.

This paper tackles cost-sensitive portfolio optimization under ambiguous return distributions.

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 …

This paper focuses on numéraire portfolio and log-optimal portfolio (portfolio with finite expected utility that maximizes the expected logarithm utility from terminal wealth), when a market model $(S,\mathbb F)$ -specified by its assets' price $S$ and its flow of information $\mathbb F$- is stopped at a random time $τ…

A new portfolio model improves on Kelly's by accounting for estimation error.

Bayes-assisted confidence sequences improve efficiency for bounded means.

Investigates optimal portfolio strategies in markets with latent side information.

The paper analyzes optimal overbetting strategies for a satellite investment account.

Investor optimizes wealth in a market with non-traded endowment, deriving expansions up to second order.

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 that this result is model-free, i.e., not dependent on an underlying stochastic …

In online portfolio optimization the investor makes decisions based on new, continuously incoming information on financial assets (typically their prices). In our study we consider a learning algorithm, namely the Kiefer--Wolfowitz version of the Stochastic Gradient method, that converges to the log-optimal solution in…

Develops a new model-free approach to portfolio theory using rough paths.

This paper tackles robust control of noisy systems with uncertain distributions.