A Comparison of Empirical Studies of Helmbold Universal Portfolio and Universal Portfolio Generated by f-Disparity Differences

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Published: 2022-02-17

Page: 84-94


Kuang Kee Seng *

Lee Kong Chian Faculty of Engineering and Science, Universiti Tunku Abdul Rahman, Sungai Long Campus, Selangor, Malaysia.

Tan Choon Peng

Lee Kong Chian Faculty of Engineering and Science, Universiti Tunku Abdul Rahman, Sungai Long Campus, Selangor, Malaysia.

Koh Siew Khew

Lee Kong Chian Faculty of Engineering and Science, Universiti Tunku Abdul Rahman, Sungai Long Campus, Selangor, Malaysia.

Goh Yann Ling

Lee Kong Chian Faculty of Engineering and Science, Universiti Tunku Abdul Rahman, Sungai Long Campus, Selangor, Malaysia.

*Author to whom correspondence should be addressed.


Abstract

Helmbold universal portfolio was developed and promising wealth return was shown by running the universal portfolio on New York Stock Exchange. Many researchers take this empirical result as a performance benchmark to compare with other newly derived universal portfolio. A weaker form of the -divergence, it is known as a -disparity difference, is studied and use to generate a new universal portfolio. Then, a new universal portfolio generated by the -disparity differences was derived. Five stock data sets are chosen from Bursa Malaysia for the empirical study for both universal portfolios. It is the focus on this paper to analyze the similarity between these universal portfolios.

Keywords: Universal portfolio, investment, f-divergence, convex function


How to Cite

Seng, K. K., Peng, T. C., Khew, K. S., & Ling, G. Y. (2022). A Comparison of Empirical Studies of Helmbold Universal Portfolio and Universal Portfolio Generated by f-Disparity Differences. Asian Journal of Pure and Applied Mathematics, 4(1), 84–94. Retrieved from https://globalpresshub.com/index.php/AJPAM/article/view/1448

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