## 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

- References (27)
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.

[Bro14] M. R. Brod, Generating the Universal Portfolio, Master's thesis, Eidgeno¨ssische Technische Hochschule, Zu¨rich, 2014.

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