switching.portfolio: Portfolio selection using switching
In logopt: Log optimal (universal) portfolios

Description Usage Arguments Details Value Author(s) References

Implement the portfolio selction defined by Singer. The algorihtm is extremely simple but the function defined here is not able to exactly reproduce the published results for the adaptive version.

1	switching.portfolio(x, gamma, method)

`x`	Time series of relative prices
`gamma`	Parameter defining the switching rate
`method`	How the parameter gamma is controlled, "fixed" or "adaptive".

Straightforward implementation of the switching portfolio algorithm. The complexity of the "fixed" method is linear in the number of stocks and in the number of periods making it a very fast algorithm, but with a less favorable theoretical bound than Cover's Universal algorithm. The "adaptive" method has a complexity linear in the square of periods, slower but still far from an exponential behavior.

Return the time series of portfolio wealth.

Marc Delvaux

Yoram Singer, "Switching Portfolios", Int. J. Neural Syst. 1997, 8(4): 445-55

logopt documentation built on May 2, 2019, 5:49 p.m.