Dec. 4 2007 2:00PM

Dec. 4 2007 3:00PM

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.

Pravidelný seminář Rozhodování a řízení za neurčitosti. (Kontaktní osoba: Miroslav Kárný)