A Comparison of Universal and Mean-Variance Efficient Portfolios
نویسنده
چکیده
– Objective: To “track” the return of the best possible constant percentage allocation of wealth (a.k.a. constant rebalanced portfolio (CRP)) chosen with knowledge of future asset returns – Algorithm: Return-weighted average of all CRPs – Main Assumptions: No statistical assumptions are made on asset returns; asymptotic analysis, however, requires several sequence-based assumptions on asset returns – Performance: Yields average return of all CRPs; return is greater than the geometric mean of stock returns (i.e. value line index); asymptotically tracks the return of the best CRP under many sequencebased assumptions
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