Fast universalization of investment strategies with provably good relative returns

Karhan Akcoglu*, Petros Drineas, Ming-Yang Kao

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contribution

3 Scopus citations

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.

Original languageEnglish (US)
Title of host publicationAutomata, Languages and Programming - 29th International Colloquium, ICALP 2002, Proceedings
Pages888-900
Number of pages13
StatePublished - Dec 1 2002
Event29th International Colloquium on Automata, Languages, and Programming, ICALP 2002 - Malaga, Spain
Duration: Jul 8 2002Jul 13 2002

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume2380 LNCS
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349

Other

Other29th International Colloquium on Automata, Languages, and Programming, ICALP 2002
CountrySpain
CityMalaga
Period7/8/027/13/02

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Computer Science(all)

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  • Cite this

    Akcoglu, K., Drineas, P., & Kao, M-Y. (2002). Fast universalization of investment strategies with provably good relative returns. In Automata, Languages and Programming - 29th International Colloquium, ICALP 2002, Proceedings (pp. 888-900). (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 2380 LNCS).