Universal portfolios generated by Toeplitz matrices
CP Tan, SY Chu, WY Pan - Proceedings of the 3rd …, 2014 - ui.adsabs.harvard.edu
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.
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.
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