NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES
NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES
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DOI：
10.1111/j.1467-9965.2006.00274.x
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发表时间：
2006-04
影响因子：
1.6
通讯作者：
L. Györfi;G. Lugosi;Frederic Udina
中科院分区：
文献类型：
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作者：
L. Györfi;G. Lugosi;Frederic Udina
本文的目的是介绍顺序投资策略，在对市场行为的最小假设下保证资本的最佳增长率。对新策略进行了理论和实证分析。理论结果表明，在市场静止且遍历的唯一假设下，渐近增长率与人们在充分了解产生市场的基本过程的统计特性的情况下可以实现的最佳增长率相匹配。实证结果表明，根据过去的纽约证券交易所和货币兑换数据衡量的拟议投资策略的表现是可靠的，有时甚至是惊人的。
The purpose of this paper is to introduce sequential investment strategies that guarantee an optimal rate of growth of the capital, under minimal assumptions on the behavior of the market. The new strategies are analyzed both theoretically and empirically. The theoretical results show that the asymptotic rate of growth matches the optimal one that one could achieve with a full knowledge of the statistical properties of the underlying process generating the market, under the only assumption that the market is stationary and ergodic. The empirical results show that the performance of the proposed investment strategies measured on past nyse and currency exchange data is solid, and sometimes even spectacular.