Universal Portfolios

@inproceedings{Cover1996UniversalP,
  title={Universal Portfolios},
  author={Thomas M. Cover},
  year={1996}
}
We exhibit an algorithm for portfolio selection that asymptotically outperforms the best stock in the market. Let x i = (x i1 ; x i2 ; : : : ; x im) t denote the performance of the stock market on day i ; where x ij is the factor by which the j-th stock increases on day i : Let b i = (b i1 ; b i2 ; : : : ; b im) t ; b ij 0; P j b ij = 1 ; denote the proportion b ij of wealth invested in the j-th stock on day i : Then S n = Q n i=1 b t i x i is the factor by which wealth is increased in n… 
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