4 papers
Beating the Best Constant Rebalancing Portfolio in Long-Term Investment: A Generalization of the Kelly Criterion and Universal Learning Algorithm for Markets with Serial Dependence
Duy Khanh Lam
In the online portfolio optimization framework, existing learning algorithms generate strategies that yield significantly poorer cumulative wealth compared to the best constant reb…
Mean-Variance Portfolio Selection in Long-Term Investments with Unknown Distribution: Online Estimation, Risk Aversion under Ambiguity, and Universality of Algorithms
Duy Khanh Lam
The standard approach for constructing a Mean-Variance portfolio involves estimating parameters for the model using collected samples. However, since the distribution of future dat…
Ensembling Portfolio Strategies for Long-Term Investments: A Distribution-Free Preference Framework for Decision-Making and Algorithms
Duy Khanh Lam
This paper investigates the problem of ensembling multiple strategies for sequential portfolios to outperform individual strategies in terms of long-term wealth. Due to the uncerta…
Sequential Portfolio Selection under Latent Side Information-Dependence Structure: Optimality and Universal Learning Algorithms
Duy Khanh Lam
This paper investigates the investment problem of constructing an optimal no-short sequential portfolio strategy in a market with a latent dependence structure between asset prices…