An Improved Iterative Algorithm for Universal Portfolio Selection
Qiying Hu · Journal of Xi'an University of Arts and Science · 2007
The conception and some principles of portfolio and universal portfolio were first introduced,and based on the universal portfolio strategy presented by Cover(1991) and an iterative algorithm for given by Cover(1996),an improved iterative algorithm for universal portfolio selection was presented.This algorithm is much simpler than Cover(1996)'s.Finally,the data from stock market was simulated and the result was given.