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MEMBERS OF RESEARCH CENTER
Research Centre
Data - Algorithms - Decision Making
Data - Algorithms - Decision Making
Established in 2005 under support of MŠMT ČR (project 1M0572)
Lectures and Presetations
Empirical Portfolio Selection
Lecturer:
Gyorfi L.
From:
Dec. 4 2007 2:00PM
To:
Dec. 4 2007 3:00PM
Place:
číslo místnosti 474
Description:
For many assets, the concept of log-optimal portfolio selection is presented. For stationary and ergodic market process, its asymptotically optimal, empirical versions can be contsructed using the basic principles of regression estimation and of machine learning. Some numerical results are shown for NYSE data. Some related papers are available at www.szit.bme.hu/~oti/portfolio.
Contact person:
Within the event:
Pravidelný seminář Rozhodování a řízení za neurčitosti. (Contact person: Miroslav Kárný)