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 UNIVERSAL RISK BUDGETING

2021 ◽  
Author(s):  
ALEX GARIVALTIS
Keyword(s):  
Side Information ◽  
Covariance Structure ◽  
Mathematical Finance ◽  
Risk Budgeting ◽  
Capital Budget ◽  
New Family ◽  
Black Scholes ◽  
Universal Portfolios ◽  
Universal Portfolio ◽  
Dirichlet Priors

I juxtapose Cover’s vaunted universal portfolio selection algorithm ([Cover, TM (1991). Universal portfolios. Mathematical Finance, 1, 1–29]) with the modern representation of a portfolio as a certain allocation of risk among the available assets, rather than a mere allocation of capital. Thus, I define a Universal Risk Budgeting scheme that weights each risk budget, instead of each capital budget, by its historical performance record, á la Cover. I prove that my scheme is mathematically equivalent to a novel type of [Cover, TM and E Ordentlich (1996). Universal portfolios with side information. IEEE Transactions on Information Theory, 42, 348–363] universal portfolio that uses a new family of prior densities that have hitherto not appeared in the literature on universal portfolio theory. I argue that my universal risk budget, so-defined, is a potentially more perspicuous and flexible type of universal portfolio; it allows the algorithmic trader to incorporate, with advantage, his prior knowledge or beliefs about the particular covariance structure of instantaneous asset returns. Say, if there is some dispersion in the volatilities of the available assets, then the uniform or Dirichlet priors that are standard in the literature will generate a dangerously lopsided prior distribution over the possible risk budgets. In the author’s opinion, the proposed “Garivaltis prior” makes for a nice improvement on Cover’s timeless expert system, that is properly agnostic and open to different risk budgets from the very get-go. Inspired by [Jamshidian, F (1992). Asymptotically optimal portfolios. Mathematical Finance, 2, 131–150], the universal risk budget is formulated as a new kind of exotic option in the continuous time Black–Scholes market, with all the pleasure, elegance, and convenience that entails.

scholarly journals Universal portfolio analysis of Malaysia’s stocks for different durations

2021 ◽  
Vol 36 ◽  
pp. 02002
Author(s):  
Sook Theng Pang ◽  
How Hui Liew
Keyword(s):  
Stock Exchange ◽  
Investment Strategies ◽  
Kuala Lumpur ◽  
Short Term ◽  
Portfolio Strategies ◽  
Good Investment ◽  
Universal Portfolios ◽  
Empirical Performance ◽  
Universal Portfolio

In this research, four proposed finite order universal portfolios were used to study Malaysia’s stock market comprehensively and the constant rebalanced portfolio (CRP) was used as a benchmark for comparison. The empirical performance of the four universal portfolio strategies was analysed experimentally concerning 95 stocks from different categories in Kuala Lumpur Stock Exchange (KLSE) from 1 January 2000 to 31 December 2015. Combinations of three stocks data from the selected 95 stocks are used for study for short-term (1-year duration), middle-term (4-years and 8-years durations) and long-term (12-years and 16-years durations). The empirical results showed that the performances of the proposed universal strategies are outperform CRP in 1 year and 4 years durations, but did poorly in 8-years, 12-years and 16-years durations. Therefore, these four UP strategies are empirically considered to be good investment strategies in the short-term.

scholarly journals Universal portfolios generated by an inequality involving the Kullback-Leibler and chi-square divergences

2021 ◽  
Vol 36 ◽  
pp. 02003
Author(s):  
Choon Peng Tan ◽  
Yap Jia Lee
Keyword(s):  
Objective Function ◽  
Stock Price ◽  
Stock Exchange ◽  
Data Sets ◽  
Chi Square ◽  
Universal Portfolios ◽  
Universal Portfolio ◽  
Two Parameter ◽  
Local Stock ◽  
Stationary Vector

An inequality involving the Kullback-Leibler and chi-square divergences is used to generate new universal portfolios for investment. The stationary vector of an objective function is determined for the purpose of deciding the next-day portfolio given the current-day portfolio and the current-day price relative vector. The two-parameter portfolio is studied empirically by running the portfolio on selected stock-price data sets from the local stock exchange. It is demonstrated that the wealth of the investor can be increased by using the proposed universal portfolio.

Quantitative Microscopic Comparison of the Organization of the Lung in Transgenic Mice Expressing Transforming Growth Factor-α (TGF-α)

1996 ◽  
Vol 54 ◽  
pp. 14-15
Author(s):  
C. G. Plopper ◽  
C. Helton ◽  
A. J. Weir ◽  
J. A. Whitsett ◽  
T. R. Korfhagen
Keyword(s):  
Growth Factor ◽  
Pulmonary Fibrosis ◽  
Transgenic Mice ◽  
Blood Vessels ◽  
Lung Parenchyma ◽  
Lung Maturation ◽  
Alveolar Air ◽  
Parenchymal Tissue ◽  
Air Space ◽  
Conducting Airways

A wide variety of growth factors are thought to be involved in the regulation of pre- and postnatal lung maturation, including factors which bind to the epidermal growth factor receptor. Marked pulmonary fibrosis and enlarged alveolar air spaces have been observed in lungs of transgenic mice expressing human TGF-α under control of the 3.7 KB human SP-C promoter. To test whether TGF-α alters lung morphogenesis and cellular differentiation, we examined morphometrically the lungs of adult (6-10 months) mice derived from line 28, which expresses the highest level of human TGF-α transcripts among transgenic lines. Total volume of lungs (LV) fixed by airway infusion at standard pressure was similar in transgenics and aged-matched non-transgenic mice (Fig. 1). Intrapulmonary bronchi and bronchioles made up a smaller percentage of LV in transgenics than in non-transgenics (Fig. 2). Pulmonary arteries and pulmonary veins were a smaller percentage of LV in transgenic mice than in non-transgenics (Fig. 3). Lung parenchyma (lung tissue free of large vessels and conducting airways) occupied a larger percentage of LV in transgenics than in non-transgenics (Fig. 4). The number of generations of branching in conducting airways was significantly reduced in transgenics as compared to non-transgenic mice. Alveolar air space size, as measured by mean linear intercept, was almost twice as large in transgenic mice as in non-transgenics, especially when different zones within the lung were compared (Fig. 5). Alveolar air space occupied a larger percentage of the lung parenchyma in transgenic mice than in non-transgenic mice (Fig. 6). Collagen abundance was estimated in histological sections as picro-Sirius red positive material by previously-published methods. In intrapulmonary conducting airways, collagen was 4.8% of the wall in transgenics and 4.5% of the wall in non-transgenic mice. Since airways represented a smaller percentage of the lung in transgenics, the volume of interstitial collagen associated with airway wall was significantly less. In intrapulmonary blood vessels, collagen was 8.9% of the wall in transgenics and 0.7% of the wall in non-transgenics. Since blood vessels were a smaller percentage of the lungs in transgenics, the volume of collagen associated with the walls of blood vessels was five times greater. In the lung parenchyma, collagen was 51.5% of the tissue volume in transgenics and 21.2% in non-transgenics. Since parenchyma was a larger percentage of lung volume in transgenics, but the parenchymal tissue was a smaller percent of the volume, the volume of collagen associated with parenchymal tissue was only slightly greater. We conclude that overexpression of TGF-α during lung maturation alters many aspects of lung development, including branching morphogenesis of the airways and vessels and alveolarization in the parenchyma. Further, the increases in visible collagen previously associated with pulmonary fibrosis due to the overexpression of TGF-α are a result of actual increases in amounts of collagen and in a redistribution of collagen within compartments which results from morphogenetic changes. These morphogenetic changes vary by lung compartment. Supported by HL20748, ES06700 and the Cystic Fibrosis Foundation.

A role for the actin cytoskeleton in the hormonal and growth-factor-mediated activation of protein kinase B

2001 ◽  
Vol 353 (3) ◽  
pp. 735
Author(s):  
K. PEYROLLIER ◽  
E. HAJDUCH ◽  
A. GRAY ◽  
G. J. LITHERLAND ◽  
A. R. PRESCOTT ◽  
...  
Keyword(s):  
Growth Factor ◽  
Protein Kinase ◽  
Actin Cytoskeleton ◽  
Protein Kinase B

The Effect of Kalman-Weighted Averaging and Artifact Rejection on Residual Noise During Auditory Brainstem Response Testing

2019 ◽  
Vol 28 (1) ◽  
pp. 114-124
Author(s):  
Linda W. Norrix ◽  
Julie Thein ◽  
David Velenovsky
Keyword(s):  
Repeated Measures ◽  
Auditory Brainstem ◽  
Weighted Averaging ◽  
Auditory Brainstem Responses ◽  
Residual Noise ◽  
Electrophysiological Recordings ◽  
Artifact Rejection ◽  
Brainstem Response ◽  
Active Motor ◽  
Averaging Time

Purpose Low residual noise (RN) levels are critically important when obtaining electrophysiological recordings of threshold auditory brainstem responses. In this study, we examine the effectiveness and efficiency of Kalman-weighted averaging (KWA) implemented on the Vivosonic Integrity System and artifact rejection (AR) implemented on the Intelligent Hearing Systems SmartEP system for obtaining low RN levels. Method Sixteen adults participated. Electrophysiological measures were obtained using simultaneous recordings by the Vivosonic and Intelligent Hearing Systems for subjects in 2 relaxed conditions and 4 active motor conditions. Three averaging times were used for the relaxed states (1, 1.5, and 3 min) and for the active states (1.5, 3, and 6 min). Repeated-measures analyses of variance were used to examine RN levels as a function of noise reduction strategy (i.e., KWA, AR) and averaging time. Results Lower RN levels were obtained using KWA than AR in both the relaxed and active motor states. Thus, KWA was more effective than was AR under the conditions examined in this study. Using KWA, approximately 3 min of averaging was needed in the relaxed condition to obtain an average RN level of 0.025 μV. In contrast, in the active motor conditions, approximately 6 min of averaging was required using KWA. Mean RN levels of 0.025 μV were not attained using AR. Conclusions When patients are not physiologically quiet, low RN levels are more likely to be obtained and more efficiently obtained using KWA than AR. However, even when using KWA, in active motor states, 6 min of averaging or more may be required to obtain threshold responses. Averaging time needed and whether a low RN level can be attained will depend on the level of motor activity exhibited by the patient.

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