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

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 pri...

Full description

Saved in:
Bibliographic Details
Published inITM Web of Conferences Vol. 36; p. 2003
Main Authors Tan, Choon Peng, Lee, Yap Jia
Format Journal Article Conference Proceeding
LanguageEnglish
Published Les Ulis EDP Sciences 2021
Subjects
Chi-square test
Stock exchanges
Online AccessGet full text

Cover

More Information
Summary: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.
ISSN:2271-2097
2431-7578
2271-2097
DOI:10.1051/itmconf/20213602003