Performance of finite order distribution-generated universal portfolios

2017 ◽  
Author(s):  
Sook Theng Pang ◽  
How Hui Liew ◽  
Yun Fah Chang
2014 ◽  
Vol 51 (4) ◽  
pp. 547-555 ◽  
Author(s):  
B. Wehrfritz

Let G be a nilpotent group with finite abelian ranks (e.g. let G be a finitely generated nilpotent group) and suppose φ is an automorphism of G of finite order m. If γ and ψ denote the associated maps of G given by \documentclass{aastex} \usepackage{amsbsy} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{bm} \usepackage{mathrsfs} \usepackage{pifont} \usepackage{stmaryrd} \usepackage{textcomp} \usepackage{upgreek} \usepackage{portland,xspace} \usepackage{amsmath,amsxtra} \usepackage{bbm} \pagestyle{empty} \DeclareMathSizes{10}{9}{7}{6} \begin{document} $$\gamma :g \mapsto g^{ - 1} \cdot g\phi and \psi :g \mapsto g \cdot g\phi \cdot g\phi ^2 \cdots \cdot \cdot g\phi ^{m - 1} for g \in G,$$ \end{document} then Gγ · kerγ and Gψ · ker ψ are both very large in that they contain subgroups of finite index in G.


2007 ◽  
Vol 7 (3) ◽  
pp. 239-254 ◽  
Author(s):  
I.H. Sloan

Abstract Finite-order weights have been introduced in recent years to describe the often occurring situation that multivariate integrands can be approximated by a sum of functions each depending only on a small subset of the variables. The aim of this paper is to demonstrate the danger of relying on this structure when designing lattice integration rules, if the true integrand has components lying outside the assumed finiteorder function space. It does this by proving, for weights of order two, the existence of 3-dimensional lattice integration rules for which the worst case error is of order O(N¯½), where N is the number of points, yet for which there exists a smooth 3- dimensional integrand for which the integration rule does not converge.


2014 ◽  
Vol 58 (1) ◽  
pp. 13-22
Author(s):  
Roman Wituła ◽  
Edyta Hetmaniok ◽  
Damian Słota

Abstract In the paper we present the selected properties of composition relation of the convergent and divergent permutations connected with commutation. We note that a permutation on ℕ is called the convergent permutation if for each convergent series ∑an of real terms, the p-rearranged series ∑ap(n) is also convergent. All the other permutations on ℕ are called the divergent permutations. We have proven, among others, that, for many permutations p on ℕ, the family of divergent permutations q on ℕ commuting with p possesses cardinality of the continuum. For example, the permutations p on ℕ having finite order possess this property. On the other hand, an example of a convergent permutation which commutes only with some convergent permutations is also presented.


Author(s):  
Cristina Bertone ◽  
Francesca Cioffi

AbstractGiven a finite order ideal $${\mathcal {O}}$$ O in the polynomial ring $$K[x_1,\ldots , x_n]$$ K [ x 1 , … , x n ] over a field K, let $$\partial {\mathcal {O}}$$ ∂ O be the border of $${\mathcal {O}}$$ O and $${\mathcal {P}}_{\mathcal {O}}$$ P O the Pommaret basis of the ideal generated by the terms outside $${\mathcal {O}}$$ O . In the framework of reduction structures introduced by Ceria, Mora, Roggero in 2019, we investigate relations among $$\partial {\mathcal {O}}$$ ∂ O -marked sets (resp. bases) and $${\mathcal {P}}_{\mathcal {O}}$$ P O -marked sets (resp. bases). We prove that a $$\partial {\mathcal {O}}$$ ∂ O -marked set B is a marked basis if and only if the $${\mathcal {P}}_{\mathcal {O}}$$ P O -marked set P contained in B is a marked basis and generates the same ideal as B. Using a functorial description of these marked bases, as a byproduct we obtain that the affine schemes respectively parameterizing $$\partial {\mathcal {O}}$$ ∂ O -marked bases and $${\mathcal {P}}_{\mathcal {O}}$$ P O -marked bases are isomorphic. We are able to describe this isomorphism as a projection that can be explicitly constructed without the use of Gröbner elimination techniques. In particular, we obtain a straightforward embedding of border schemes in affine spaces of lower dimension. Furthermore, we observe that Pommaret marked schemes give an open covering of Hilbert schemes parameterizing 0-dimensional schemes without any group actions. Several examples are given throughout the paper.


2021 ◽  
Vol 385 ◽  
pp. 107760
Author(s):  
Udayan B. Darji ◽  
Daniel Gonçalves ◽  
Marcelo Sobottka

2021 ◽  
Vol 9 (1) ◽  
pp. 11
Author(s):  
Alex Garivaltis

This note provides a neat and enjoyable expansion and application of the magnificent Ordentlich-Cover theory of “universal portfolios”. I generalize Cover’s benchmark of the best constant-rebalanced portfolio (or 1-linear trading strategy) in hindsight by considering the best bilinear trading strategy determined in hindsight for the realized sequence of asset prices. A bilinear trading strategy is a mini two-period active strategy whose final capital growth factor is linear separately in each period’s gross return vector for the asset market. I apply Thomas Cover’s ingenious performance-weighted averaging technique to construct a universal bilinear portfolio that is guaranteed (uniformly for all possible market behavior) to compound its money at the same asymptotic rate as the best bilinear trading strategy in hindsight. Thus, the universal bilinear portfolio asymptotically dominates the original (1-linear) universal portfolio in the same technical sense that Cover’s universal portfolios asymptotically dominate all constant-rebalanced portfolios and all buy-and-hold strategies. In fact, like so many Russian dolls, one can get carried away and use these ideas to construct an endless hierarchy of ever more dominant H-linear universal portfolios.


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