# Universal portfolios in stochastic portfolio theory

Preprint English OPEN
Wong, Ting-Kam Leonard;
(2015)
• Subject: Quantitative Finance - Portfolio Management | Mathematics - Probability
arxiv: 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
• References (27)
27 references, page 1 of 3

t→∞ t (i) Suppose π is generated by Φ. For every p ∈ Δn, the tangent vector v = (v1, . . . , vn) of Δn given by

for all open sets G such that G ∩ supp(ν0) 6= ∅. These inequalities and Lemma 4.11 imply the LDP.

Since Pt(Y ) → P(Y ) > 0 as A is a P-continuity set, the measures Pet are well defined for t sufficiently large.

We claim that Pet converges weakly to Pe. This implies the statement because f is bounded continuous on Y and Z 1 Z 1 Z Z To prove the claim, it suffices by the Portmanteau theorem to show that Pet(A) → 1

Pe(A) for all A ⊂ Y with Pe(∂Y A) = P(Y ) P (∂Y A ∩ Y ) = 0. Note that ∂Y A ⊂ Y , so P (∂Y A) = 0. By Lemma A.1, we have ∂S A ⊂ ∂Y A ∪ ∂S Y , and so P (∂S A) = 0 [Bil09] P. Billingsley, Convergence of probability measures, vol. 493, John Wiley & Sons, 2009.

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[CK06] L. B. Chincarini and D. Kim, Quantitative equity portfolio management: An active approach to portfolio construction and management, McGraw-Hill Library of Investment and Finance, McGraw-Hill, 2006.

[CN13] I. Castillo and R. Nickl, Nonparametric bernstein-von mises theorems in gaussian white noise, The Annals of Statistics 41 (2013), no. 4, 1999-2028.

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