2022/02/04 by Alankrita Bhatt, Bhatt, Alankrita, J. Jon Ryu +3 · 1 citation
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Economic theories and models #FOS: Computer and information sciences #Financial Markets and Investment Strategies #Information Theory (cs.IT)
paper · pdf · doi:10.48550/arxiv.2202.02431
openalex publication_date 2022/02/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
A new portfolio selection strategy that adapts to a continuous side-information sequence is presented, with a universal wealth guarantee against a class of state-constant rebalanced portfolios with respect to a state function that maps each side-information symbol to a finite set of states. In particular, given that a state function belongs to a collection of functions of finite Natarajan dimension, the proposed strategy is shown to achieve, asymptotically to first order in the exponent, the same wealth as the best state-constant rebalanced portfolio with respect to the best state function, chosen in hindsight from observed market. This result can be viewed as an extension of the seminal work of Cover and Ordentlich (1996) that assumes a single state function.