Fast Universalization of Investment Strategies with Provably Good Relative Returns

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dc.creatorAkcoglu, Karhan
dc.creatorDrineas, Petros
dc.creatorKao, Ming-Yang
dc.date2002-04-10
dc.date.accessioned2026-07-07T03:18:17Z
dc.date.available2026-07-07T03:18:17Z
dc.descriptionA universalization of a parameterized investment strategy is an online algorithm whose average daily performance approaches that of the strategy operating with the optimal parameters determined offline in hindsight. We present a general framework for universalizing investment strategies and discuss conditions under which investment strategies are universalizable. We present examples of common investment strategies that fit into our framework. The examples include both trading strategies that decide positions in individual stocks, and portfolio strategies that allocate wealth among multiple stocks. This work extends Cover's universal portfolio work. We also discuss the runtime efficiency of universalization algorithms. While a straightforward implementation of our algorithms runs in time exponential in the number of parameters, we show that the efficient universal portfolio computation technique of Kalai and Vempala involving the sampling of log-concave functions can be generalized to other classes of investment strategies.
dc.description23 Pages
dc.identifierhttps://arxiv.org/abs/cs/0204019
dc.identifierhttp://arxiv.org/abs/cs/0204019
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/31050
dc.subjectComputational Engineering, Finance, and Science
dc.subjectData Structures and Algorithms
dc.subjectF.2; G.3; I.2.6
dc.titleFast Universalization of Investment Strategies with Provably Good Relative Returns
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