2 research outputs found
Online Universal Dirichlet Factor Portfolios
We revisit the online portfolio allocation problem and propose universal
portfolios that use factor weighing to produce portfolios that out-perform
uniform dirichlet allocation schemes. We show a few analytical results on the
lower bounds of portfolio growth when the returns are known to follow a factor
model. We also show analytically that factor weighted dirichlet sampled
portfolios dominate the wealth generated by uniformly sampled dirichlet
portfolios. We corroborate our analytical results with empirical studies on
equity markets that are known to be driven by factors