英文标题：
《Universal portfolios in stochastic portfolio theory》
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作者：
Ting-Kam Leonard Wong
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最新提交年份：
2016
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英文摘要：
Consider a family of portfolio strategies with the aim of achieving the asymptotic growth rate of the best one. The idea behind Cover\'s universal portfolio is to build a wealth-weighted average which can be viewed as a buy-and-hold portfolio of portfolios. When an optimal portfolio exists, the wealth-weighted average converges to it by concentration of wealth. Working under a discrete time and pathwise setup, we show under suitable conditions that the distribution of wealth in the family satisfies a pathwise large deviation principle as time tends to infinity. Our main result extends Cover\'s portfolio to the nonparametric family of functionally generated portfolios in stochastic portfolio theory and establishes its asymptotic universality.
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中文摘要：
考虑一系列投资组合策略，目标是获得最佳投资组合的渐进增长率。Cover的通用投资组合背后的理念是建立一个财富加权平均值，它可以被视为一个买入并持有的投资组合。当最优投资组合存在时，财富加权平均值通过财富集中收敛于最优投资组合。在离散时间和路径设置下，我们证明了在适当的条件下，随着时间趋于无穷大，家庭财富分配满足路径大偏差原则。我们的主要结果将Cover的投资组合推广到随机投资组合理论中的非参数函数生成投资组合族，并建立了它的渐近普适性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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