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dc.contributor.author O'Sullivan, Patrick
dc.contributor.author Edelman, David
dc.date.accessioned 2012-03-27T13:46:53Z
dc.date.available 2014-04-29T03:00:07Z
dc.date.copyright 2013, Taylor & Francis en
dc.date.issued 2013-04-29
dc.identifier.citation The European Journal of Finance en
dc.identifier.uri http://hdl.handle.net/10197/3537
dc.description 18th Forecasting Financial Markets' Conference 2011, Marseilles, France, 25-27 May, 2011 en
dc.description.abstract The purpose of this paper is to develop a stock selection algorithm with similar properties as Cover’s Universal Portfolio, but providing superior early growth. Cover’s Universal Portfolio generates a growth rate asymptotically equal to the best achievable growth rate over the set of constant rebalanced portfolios. However, Cover’s Universal Portfolio is empirically seen to generate poor early growth. While much research has been conducted in relation to Cover’s Universal Portfolio, much of this has focused on efficient implementation of the algorithm and considerations of market frictions. As such, there remains a significant research gap in addressing the issue of poor early growth generated by Cover’s strategy. With this in mind we develop the Adaptive Universal Portfolio, a sequential portfolio selection algorithm with similar asymptotic properties as Cover’s Universal Portfolio but providing greater early growth. In this paper we provide an analysis of the growth generated by the two algorithms. Furthermore we present empirical evidence of the superior early growth generated by the Adaptive Universal Portfolio. Finally we discuss possible criticisms of the Adaptive Universal Portfolio, including evidence of momentum following and vulnerability to individual stock risks, and provide an insight into possible future work in this area. en
dc.description.sponsorship Science Foundation Ireland en
dc.format.extent 290346 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher CIBEF en
dc.publisher Routledge (Taylor & Francis) en
dc.relation.requires Business Research Collection en
dc.rights This is an electronic version of a forthcoming article to be published in The European Journal of Finance, available online at: http://www.tandfonline.com/doi/abs/10.1080/1351847X.2013.788534
dc.subject Portfolio choice en
dc.subject Universal portfolios en
dc.subject Bayesian analysis en
dc.subject Capital growth models en
dc.subject Kelly criterion en
dc.subject.classification C11 en
dc.subject.classification G11 en
dc.subject.lcsh Portfolio management en
dc.subject.lcsh Bayesian statistical decision theory en
dc.subject.lcsh Investments--Mathematical models en
dc.title Adaptive universal portfolios en
dc.type Conference Publication en
dc.internal.availability Full text available en
dc.status Peer reviewed en
dc.identifier.doi 10.1080/1351847X.2013.788534
dc.neeo.contributor O'Sullivan|Patrick|aut|
dc.neeo.contributor Edelman|David|aut|
dc.description.admin Conference website: . Some papers might be published in the the European Journal of Finance (Taylor & Francis) - AV 17/01/2012; ti, ke, ab - TS 16.02.12 en


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