| Issue |
ITM Web Conf.
Volume 36, 2021
The 16th IMT-GT International Conference on Mathematics, Statistics and their Applications (ICMSA 2020)
|
|
|---|---|---|
| Article Number | 02004 | |
| Number of page(s) | 9 | |
| Section | Financial Mathematics | |
| DOI | https://doi.org/10.1051/itmconf/20213602004 | |
| Published online | 26 January 2021 | |
Universal portfolios generated by rational functions
Department of Mathematical and Actuarial Sciences, Universiti Tunku Abdul Rahman, Jalan Sungai Long, 43000, Kajang, Selangor, Malaysia
* Corresponding author: kuangks@utar.edu.my
The f -divergence of Csiszar is defined for a non-negative convex function on the positive axis. A pseudo f -divergence can be defined for a convex function not satisfying the usual requirements. A rational function where both the numerator and the denominator are non-integer polynomials will be used to generate universal portfolios. Five stock-price data sets from the local stock exchange are selected for the empirical study. Empirical results are obtained by running the generated portfolios on these data sets. The empirical results demonstrate that it is possible for the investors to increase their wealth by using the portfolios in investment.
© The Authors, published by EDP Sciences, 2021
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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