| Issue |
ITM Web Conf.
Volume 36, 2021
The 16th IMT-GT International Conference on Mathematics, Statistics and their Applications (ICMSA 2020)
|
|
|---|---|---|
| Article Number | 02003 | |
| Number of page(s) | 8 | |
| Section | Financial Mathematics | |
| DOI | https://doi.org/10.1051/itmconf/20213602003 | |
| Published online | 26 January 2021 | |
Universal portfolios generated by an inequality involving the Kullback-Leibler and chi-square divergences
Department of Mathematical and Actuarial Sciences, Universiti Tunku Abdul Rahman, Jalan Sungai Long, 43000, Kajang, Selangor, Malaysia
* Corresponding author: yjlee@utar.edu.my
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.
© 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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