Universal portfolios generated by Toeplitz matrices
Abstract
Performance of universal portfolios generated by Toeplitz matrices is studied in this paper. The general structure of the companion matrix of the generating Toeplitz matrix is determined. Empirical performance of the threeband and nine-band Toeplitz universal portfolios on real stock data is presented. Pseudo Toeplitz universal portfolios are studied with promising empirical achievement of wealth demonstrated.
- Publication:
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Proceedings of the 3rd International Conference on Mathematical Sciences
- Pub Date:
- June 2014
- DOI:
- Bibcode:
- 2014AIPC.1602.1126T