# Universal portfolios in stochastic portfolio theory

*Wong, Ting-Kam Leonard*;

- Subject: Quantitative Finance - Portfolio Management | Mathematics - Probabilityarxiv: Computer Science::Computational Engineering, Finance, and Science | Statistics::Other Statistics | Mathematics::Optimization and Control

Consider a family of portfolio strategies with the aim of achieving the asymptotic growth rate of the best one. The idea behind Cover's universal portfolio is to build a wealth-weighted average which can be viewed as a buy-and-hold portfolio of portfolios. When an optim... View more

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University of Washington ( UW ) United StatesWebsite url: http://www.washington.edu/73% - Metrics

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