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Abstract : |
A constant rebalanced portfolio is an investment strategy that keeps the same distribution of wealth among a set of stocks from day to day. There has been much work on Cover's Universal algorithm, which is competitive with the best constant rebalanced portfolio determined in hindsight (3, 9, 2, 8, 16, 4, 5, 6). While this algorithm has good performance guarantees, all known implementations are exponential in the number of stocks, restricting the number of stocks used in experiments (9, 4, 2, 5, 6). We present an ecient implementation of the Universal algorithm that is based on non-uniform random walks that are rapidly mixing (1, 14, 7). This same implementation also works for non-nancial applications of the Universal algorithm, such as data compression (6) and language modeling (11). 1., |
