论文标题
在带有连续侧信息的通用投资组合上
On Universal Portfolios with Continuous Side Information
论文作者
论文摘要
提出了一种适应连续的侧面信息顺序的新产品组合选择策略，并提供了普遍的财富保证，可抵御一类国家恒定的重新平衡投资组合，相对于一个状态函数，该状态函数将每个侧面信息符号映射到有限的状态集。特别是，鉴于状态函数属于有限的natarajan维度功能的集合，因此所提出的策略显示出渐近地达到指数中的一阶，与最佳状态稳定性重新平衡的投资组合相对于最佳状态功能，在观察市场中获得了最佳状态。该结果可以看作是假定单个状态函数的Cover和Ordentlich（1996）的开创性工作的扩展。
A new portfolio selection strategy that adapts to a continuous side-information sequence is presented, with a universal wealth guarantee against a class of state-constant rebalanced portfolios with respect to a state function that maps each side-information symbol to a finite set of states. In particular, given that a state function belongs to a collection of functions of finite Natarajan dimension, the proposed strategy is shown to achieve, asymptotically to first order in the exponent, the same wealth as the best state-constant rebalanced portfolio with respect to the best state function, chosen in hindsight from observed market. This result can be viewed as an extension of the seminal work of Cover and Ordentlich (1996) that assumes a single state function.
