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Portfolio management without probabilities or statistics
Authors:Sjur Didrik Flåm
Affiliation:(1) Department of Industrial Engineering, Bilkent University, 06800 Ankara, Turkey
Abstract:Considered here is on-line portfolio management aimed at maximizing the long-run growth of financial wealth. The portfolio is repeatedly rebalanced in response to observed returns on diverse assets. Suppose statistical information and related methods are not available—or deemed too difficult. On that assumption this paper explores how an adaptive procedure, which totally dispenses with statistics and associated competence, nonetheless may solve the problem over time.
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