Mariko Tsurusaki

  • Citations Per Year
Learn More
We provide a new look at Cover's universal portfolio, where we define probability density functions (p.d.f.) representing wealth functions of portfolios. In this view, log wealth ratio of a portfolio sequence is equal to coding regret of its p.d.f. for the target class which consists of the p.d.f. representing constantly rebalanced portfolios (CRP). It is(More)
We analyze properties of Constant Markov Portfolio (CMP), which we proposed as a generalized notion of Constantly Rebalanced Portfolio (CRP) in 2011, and present its generalization. In particular, we show the algorithm for exact computation of the Bayesian strategy for CMP by extending the algorithm for CRP given by Cover & Ordentlich in 1996. Further,(More)
  • 1