Iterative nonparametric estimation of a log-optimal portfolio selection function

被引:6
|
作者
Walk, H [1 ]
Yakowitz, S
机构
[1] Univ Stuttgart, Inst Math A, D-70569 Stuttgart, Germany
[2] Univ Arizona, Dept Syst & Ind Engn, Tucson, AZ 85721 USA
关键词
alpha-mixing; iterative nonparametric estimation; log-optimal portfolio selection function; strong consistency;
D O I
10.1109/18.971764
中图分类号
TP [自动化技术、计算机技术];
学科分类号
0812 ;
摘要
Let stock market vectors form a stationary ergodic sequence. For fixed d is an element of N, a log-optimal portfolio selection function of the past d observed vectors is iteratively estimated on the basis of a training sequence by use of gradients and nonparametric regression. Strong consistency is obtained under a boundedness and alpha -mixing condition without further assumptions on the distribution.
引用
收藏
页码:324 / 333
页数:10
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