The Cost of Achieving the Best Portfolio in Hindsight
Published Online:1 Nov 1998https://doi.org/10.1287/moor.23.4.960
References
- Controlled random walks. Proc. Internat. Congress of Math. (1956a) III Amsterdam, North Holland 336 338 Google Scholar
- An analog of the minimax theorem for vector payoffs. Pacific J. Math. (1956b) 6 Crossref, Google Scholar
- Universal portfolios. Math. Finance (1991) 1 1 1 29 Crossref, Google Scholar
- Empirical Bayes stock market portfolios. Adv. Appl. Math. (1986) 7 170 181 Crossref, Google Scholar
- Universal portfolios with side information. IEEE Trans. Inform. Theory (1996) 42 2 Crossref, Google Scholar
- A continuous time portfolio turnpike theorem. J. Econom. Dynam. Control (1992) 16 491 501 Crossref, Google Scholar
- Dynamic Asset Pricing Theory (1996) 2nd ed. (Princeton University Press, Princeton, New Jersey) Google Scholar
- Portfolio turnpike theorem, risk aversion, and regularly varying functions. Econometrica (1983) 51 Crossref, Google Scholar
- Asymptotically optimal portfolios. Math. Finance (1992) 2 2 Crossref, Google Scholar
- Brownian Motion and Stochastic Calculus (1991) 2nd ed. (Springer-Verlag) . Graduate Texts in Mathematics Google Scholar
- Private communication. (1996) Google Scholar
- Bounds for the worst case probability of undetected error. IEEE Trans. Inform. Theory (1995) 41 1 Crossref, Google Scholar
- Growth optimal trading strategies (1986) . Ph.D. thesis, Stanford University, Stanford, California Google Scholar
- Inequalities: Theory of Majorization and Its Applications (1979) 143 (Academic Press, London) . Mathematics in Science and Engineering Google Scholar
- Coding techniques for digital networks. Proc. Internat. Conf. on Inform. Theory Systems (1978) Berlin, Germany Google Scholar
- Universal schemes for sequential decision from individual data sequences. IEEE Trans. Inform. Theory (1993) 39 4 1280 1292 Crossref, Google Scholar
- Universal investment and universal data compression (1996) . Ph.D. thesis, Stanford University, Stanford, California Google Scholar
- On-line portfolio selection. Proc. Ninth Conf. on Computational Learn. Theory (1996) Desenzano del Garda, Italy Crossref, Google Scholar
- Principles of Mathematical Analysis 3rd ed. (McGraw-Hill) Google Scholar
- Universal sequential coding of single messages. Problems of Inform. Transmission (1987) 23 3 3 17 Google Scholar
- Multi-alphabet universal coding of memoryless sources. Problems of Inform. Transmission (1995) 31 114 127 Google Scholar
- On asymptotics of certain sums arising in coding theory. IEEE Trans. Inform. Theory (1995) 41 6 Crossref, Google Scholar
- Some new sums arising in coding theory. (1996) . Preprint Google Scholar

