universal.cover.random: 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
using a sampling approach, needed to avoid exponential complexity in
number of stocks.
Usage
1
universal.cover.random(x, n, method)
Arguments
x
Time series of relative prices
n
Number of sample points used
method
Probability function controlling the sampling, supported
at this time are: "uniform" and "dirichlet"
Details
Straightforward implementation of Cover's algorithm, evaluate the
CRP at the random sample points, return the observed average wealth.
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.
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Description Usage Arguments Details Value Author(s) References
Description
Implement the universal portfolio selection algortihm defined by Cover using a sampling approach, needed to avoid exponential complexity in number of stocks.
Usage
1 | universal.cover.random(x, n, method)
|
Arguments
x |
Time series of relative prices |
n |
Number of sample points used |
method |
Probability function controlling the sampling, supported at this time are: "uniform" and "dirichlet" |
Details
Straightforward implementation of Cover's algorithm, evaluate the CRP at the random sample points, return the observed average wealth.
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.
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