scholarly journals The Bregman-divergence universal portfolio associated with a convex polynomial

2018 ◽  
Vol 1132 ◽  
pp. 012073
Author(s):  
Choon Peng Tan ◽  
Yap Jia Lee
Keyword(s):  
Bregman Divergence ◽  
Universal Portfolio

scholarly journals A Note on Universal Bilinear Portfolios

2021 ◽  
Vol 9 (1) ◽  
pp. 11
Author(s):  
Alex Garivaltis
Keyword(s):  
Growth Factor ◽  
Trading Strategy ◽  
Weighted Averaging ◽  
Asset Market ◽  
Best Constant ◽  
Capital Growth ◽  
Universal Portfolios ◽  
Universal Portfolio ◽  
Technical Sense ◽  
Constant Rebalanced Portfolios

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.

scholarly journals Information Geometry for Radar Target Detection with Total Jensen–Bregman Divergence

Entropy ◽  
2018 ◽  
Vol 20 (4) ◽  
pp. 256 ◽  
Author(s):  
Xiaoqiang Hua ◽  
Haiyan Fan ◽  
Yongqiang Cheng ◽  
Hongqiang Wang ◽  
Yuliang Qin
Keyword(s):  
Target Detection ◽  
Information Geometry ◽  
Bregman Divergence ◽  
Radar Target

Similarity search on Bregman divergence

2009 ◽  
Vol 2 (1) ◽  
pp. 13-24 ◽  
Author(s):  
Zhenjie Zhang ◽  
Beng Chin Ooi ◽  
Srinivasan Parthasarathy ◽  
Anthony K. H. Tung
Keyword(s):  
Similarity Search ◽  
Bregman Divergence

scholarly journals The Finite and Moving Order Multinomial Universal Portfolio

2013 ◽  
Vol 435 ◽  
pp. 012039 ◽  
Author(s):  
Choon Peng Tan ◽  
Sook Theng Pang
Keyword(s):  
Universal Portfolio

Geometric target detection based on total Bregman divergence

2018 ◽  
Vol 75 ◽  
pp. 232-241 ◽  
Author(s):  
Xiaoqiang Hua ◽  
Yongqiang Cheng ◽  
Hongqiang Wang ◽  
Yuliang Qin ◽  
Dingchang Chen
Keyword(s):  
Target Detection ◽  
Bregman Divergence
Sign in / Sign up

Export Citation Format

Share Document