[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/bla/mathfi/v16y2006i2p337-357.html
   My bibliography  Save this article

Nonparametric Kernel‐Based Sequential Investment Strategies

Author

Listed:
  • László Györfi
  • Gábor Lugosi
  • Frederic Udina
Abstract
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.

Suggested Citation

  • László Györfi & Gábor Lugosi & Frederic Udina, 2006. "Nonparametric Kernel‐Based Sequential Investment Strategies," Mathematical Finance, Wiley Blackwell, vol. 16(2), pages 337-357, April.
    • Handle: RePEc:bla:mathfi:v:16:y:2006:i:2:p:337-357
    DOI: 10.1111/j.1467-9965.2006.00274.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9965.2006.00274.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9965.2006.00274.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:16:y:2006:i:2:p:337-357. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.