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In this paper, we consider the sequential portfolio investment problem considered by Cover [3] and extend the results of [3] to the class of piecewise constant rebalanced portfolios that are tuned to the underlying sequence of price relatives. Here, the piecewise constant models are used to partition the space of past price relative vectors where we assign a different constant rebalanced portfolio...
This paper considers the problem of piecewise linear prediction from a competitive algorithm approach. In prior work, prediction algorithms have been developed that are "universal" with respect to the class of all linear predictors, such that they perform nearly as well, in terms of total squared prediction error, as the best linear predictor that is able to observe the entire sequence in...
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