universal.cover: Universal portfolio selection algorithm from Cover
In logopt: Log optimal (universal) portfolios
Description
Usage
Arguments
Details
Value
Author(s)
References
Description
Implement the universal portfolio selection algortihm defined by Cover
directly, i.e. with exponential complexity in the number of stocks
considered.
Usage
1
universal.cover(x, n)
Arguments
x
Time series of relative prices
n
Split any dimension in n, the algorithm will evaluate O(n^(m-1)) CRP, with
m the number of stocks in x
Details
Straightforward implementation of Cover's algorithm, exponential
behavior restrict this to small number of stocks.
Value
Return the time series of portfolio wealths.
Author(s)
Marc Delvaux
References
Thomas M. Cover. Universal Portfolios. Mathematical Finance, 1(1): 1-29, January 1991.
logopt documentation built on May 2, 2019, 5:49 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Details Value Author(s) References
Description
Implement the universal portfolio selection algortihm defined by Cover directly, i.e. with exponential complexity in the number of stocks considered.
Usage
1 | universal.cover(x, n)
|
Arguments
x |
Time series of relative prices |
n |
Split any dimension in n, the algorithm will evaluate O(n^(m-1)) CRP, with m the number of stocks in x |
Details
Straightforward implementation of Cover's algorithm, exponential behavior restrict this to small number of stocks.
Value
Return the time series of portfolio wealths.
Author(s)
Marc Delvaux
References
Thomas M. Cover. Universal Portfolios. Mathematical Finance, 1(1): 1-29, January 1991.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.