Risk management strategies for finding universal portfolios

@article{Mohr2017RiskMS,
  title={Risk management strategies for finding universal portfolios},
  author={Esther Mohr and Robert Dochow},
  journal={Annals of Operations Research},
  year={2017},
  volume={256},
  pages={129-147}
}
We consider Cover’s universal portfolio and the problem of risk management in a distribution-free setting when learning from experts. We aim to find optimal portfolios without modelling the financial market at the outset. Although it exists, the price distribution of the constituent assets is neither known nor given as part of the input. We consider the portfolio selection problem from the perspective of online algorithms that process input piece-by-piece in a serial fashion. Under the minimax… 

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