关于具有连续边信息的泛Portfolio
On Universal Portfolios with Continuous Side Information
摘要：
提出了一种新的投资组合选择策略，适应于连续的边信息序列，具有普遍的财富保证，对一类状态常数再平衡投资组合的状态函数，每个边信息符号映射到一个有限的状态集。特别是，给定的状态函数属于有限Natarajan维数的函数的集合，所提出的策略是实现，渐近到一阶指数，相同的财富作为最佳状态常数再平衡投资组合的最佳状态函数，事后从观察到的市场。这个结果可以被看作是Cover和Ordentlich（1996）的开创性工作的延伸，该工作假设了一个单一的状态函数。
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
