High order universal portfolios.
CoRR(2023)
摘要
The Cover universal portfolio (UP from now on) has many interesting
theoretical and numerical properties and was investigated for a long time.
Building on it, we explore what happens when we add this UP to the market as a
new synthetic asset and construct by recurrence higher order UPs. We
investigate some important theoretical properties of the high order UPs and
show in particular that they are indeed different from the Cover UP and are
capable to break the time permutation invariance. Numerical experiences on a
benchmark from the literature show that in all cases high order UPs improve
Cover's UP performances.
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