On Data-Driven Log-Optimal Portfolio: A Sliding Window Approach

Pei-Ting Wang and Chung-Han Hsieh

Papers from arXiv.org

Abstract: In this paper, we propose a data-driven sliding window approach to solve a log-optimal portfolio problem. In contrast to many of the existing papers, this approach leads to a trading strategy with time-varying portfolio weights rather than fixed constant weights. We show, by conducting various empirical studies, that the approach possesses a superior trading performance to the classical log-optimal portfolio in the sense of having a higher cumulative rate of returns.

Date: 2022-06
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Citations: View citations in EconPapers (4)

Published in IFAC-PapersOnline, vol. 55, no. 30, pp. 474-479, 2022

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2206.12148

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