@inproceedings{0fa32c25e3724d8ebde4d0a5fb2e94ef,
title = "Fast universalization of investment strategies with provably good relative returns",
abstract = "A 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.",
author = "Karhan Akcoglu and Petros Drineas and Ming-Yang Kao",
year = "2002",
doi = "10.1007/3-540-45465-9_76",
language = "English (US)",
isbn = "3540438645",
series = "Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)",
publisher = "Springer Verlag",
pages = "888--900",
editor = "Peter Widmayer and Stephan Eidenbenz and Francisco Triguero and Rafael Morales and Ricardo Conejo and Matthew Hennessy",
booktitle = "Automata, Languages and Programming - 29th International Colloquium, ICALP 2002, Proceedings",
note = "29th International Colloquium on Automata, Languages, and Programming, ICALP 2002 ; Conference date: 08-07-2002 Through 13-07-2002",
}