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: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2021-01-01
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| Series: | ITM Web of Conferences |
| Online Access: | https://www.itm-conferences.org/articles/itmconf/pdf/2021/01/itmconf_icmsa2021_02004.pdf |