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- Title
Performance of Finite Order Stochastic Process Generated Universal Portfolios.
- Authors
Pang, S. T.; Liew, H. H.; Chang, Y. F.
- Abstract
Stochastic processes based universal portfolio is a good generalisation universal portfolio which is believed be able to perform well with the right stochastic processes. The empirical performance of the stochastic process generated universal portfolio are analysed experimentally concerning 10 higher volume stocks from different categories in Kuala Lumpur Stock Exchange. The time interval of study is from January 2000 to December 2015, which includes the credit crisis from September 2008 to March 2009. A Constant Rebalanced Portfolio (CRP) is an investment strategy which reinvests by redistributing wealth equally among a set of stocks. The empirical performance of the finite-order universal portfolio generated by stochastic process shown to be better than Constant Rebalanced Portfolio with properly chosen parameters.
- Subjects
STOCHASTIC orders; ORDER picking systems; INVESTMENT policy; STOCK exchanges; GENERALIZATION; STOCHASTIC processes
- Publication
Malaysian Journal of Mathematical Sciences, 2019, Vol 13, p157
- ISSN
1823-8343
- Publication type
Article