Györfi, László (BME SZIT)
Empirical growth optimal portfolio
selections
This talk provides a survey of
discrete time, multi period, sequential investment strategies for financial
markets. Under memoryless assumption on
the underlying process generating the asset prices the Best Constantly
Rebalanced Portfolio is studied, called log-optimal portfolio, which achieves
the maximal asymptotic average growth rate.
For generalized dynamic portfolio selection, when asset prices are
generated by a stationary and ergodic process,
growth optimal empirical strategies are shown, where some principles of
nonparametric regression estimation and of machine learning aggregation are
applied. The empirical performance of the methods is illustrated for NYSE data.
Date: Nov. 29, Tuesday 4:15pm
Place: BME, Building „Q”, Room QBF13