Universal portfolios generated by rational functions
The f -divergence of Csiszar is defined for a non-negative convex function on the positive axis. A pseudo f -divergence can be defined for a convex function not satisfying the usual requirements. A rational function where both the numerator and the denominator are non-integer polynomials will be use...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2021-01-01
|
| Series: | ITM Web of Conferences |
| Online Access: | https://www.itm-conferences.org/articles/itmconf/pdf/2021/01/itmconf_icmsa2021_02004.pdf |
| _version_ | 1818737481609117696 |
|---|---|
| author | Kuang Kee Seng Tan Choon Peng Goh Yann Ling |
| author_facet | Kuang Kee Seng Tan Choon Peng Goh Yann Ling |
| author_sort | Kuang Kee Seng |
| collection | DOAJ |
| description | The f -divergence of Csiszar is defined for a non-negative convex function on the positive axis. A pseudo f -divergence can be defined for a convex function not satisfying the usual requirements. A rational function where both the numerator and the denominator are non-integer polynomials will be used to generate universal portfolios. Five stock-price data sets from the local stock exchange are selected for the empirical study. Empirical results are obtained by running the generated portfolios on these data sets. The empirical results demonstrate that it is possible for the investors to increase their wealth by using the portfolios in investment. |
| first_indexed | 2024-12-18T00:53:44Z |
| format | Article |
| id | doaj.art-8a748f5ab83c4785b22e9d74fc810087 |
| institution | Directory Open Access Journal |
| issn | 2271-2097 |
| language | English |
| last_indexed | 2024-12-18T00:53:44Z |
| publishDate | 2021-01-01 |
| publisher | EDP Sciences |
| record_format | Article |
| series | ITM Web of Conferences |
| spelling | doaj.art-8a748f5ab83c4785b22e9d74fc8100872022-12-21T21:26:36ZengEDP SciencesITM Web of Conferences2271-20972021-01-01360200410.1051/itmconf/20213602004itmconf_icmsa2021_02004Universal portfolios generated by rational functionsKuang Kee Seng0Tan Choon Peng1Goh Yann Ling2Department of Mathematical and Actuarial Sciences, Universiti Tunku Abdul Rahman, Jalan Sungai LongDepartment of Mathematical and Actuarial Sciences, Universiti Tunku Abdul Rahman, Jalan Sungai LongDepartment of Mathematical and Actuarial Sciences, Universiti Tunku Abdul Rahman, Jalan Sungai LongThe f -divergence of Csiszar is defined for a non-negative convex function on the positive axis. A pseudo f -divergence can be defined for a convex function not satisfying the usual requirements. A rational function where both the numerator and the denominator are non-integer polynomials will be used to generate universal portfolios. Five stock-price data sets from the local stock exchange are selected for the empirical study. Empirical results are obtained by running the generated portfolios on these data sets. The empirical results demonstrate that it is possible for the investors to increase their wealth by using the portfolios in investment.https://www.itm-conferences.org/articles/itmconf/pdf/2021/01/itmconf_icmsa2021_02004.pdf |
| spellingShingle | Kuang Kee Seng Tan Choon Peng Goh Yann Ling Universal portfolios generated by rational functions ITM Web of Conferences |
| title | Universal portfolios generated by rational functions |
| title_full | Universal portfolios generated by rational functions |
| title_fullStr | Universal portfolios generated by rational functions |
| title_full_unstemmed | Universal portfolios generated by rational functions |
| title_short | Universal portfolios generated by rational functions |
| title_sort | universal portfolios generated by rational functions |
| url | https://www.itm-conferences.org/articles/itmconf/pdf/2021/01/itmconf_icmsa2021_02004.pdf |
| work_keys_str_mv | AT kuangkeeseng universalportfoliosgeneratedbyrationalfunctions AT tanchoonpeng universalportfoliosgeneratedbyrationalfunctions AT gohyannling universalportfoliosgeneratedbyrationalfunctions |