Online Universal Dirichlet Factor Portfolios

Purushottam Parthasarathy, Avinash Bhardwaj and Manjesh K. Hanawal

Papers from arXiv.org

Abstract: We revisit the online portfolio allocation problem and propose universal portfolios that use factor weighing to produce portfolios that out-perform uniform dirichlet allocation schemes. We show a few analytical results on the lower bounds of portfolio growth when the returns are known to follow a factor model. We also show analytically that factor weighted dirichlet sampled portfolios dominate the wealth generated by uniformly sampled dirichlet portfolios. We corroborate our analytical results with empirical studies on equity markets that are known to be driven by factors.

Date: 2023-08, Revised 2023-11
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2308.07763 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2308.07763

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().