Nonparametric kernel-based sequential investment strategies

László Györfi, Gábor Lugosi, Frederic Udina

Research output: Article

52 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)337-357
Number of pages21
JournalMathematical Finance
Volume16
Issue number2
DOIs
Publication statusPublished - ápr. 1 2006

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ASJC Scopus subject areas

  • Accounting
  • Finance
  • Social Sciences (miscellaneous)
  • Economics and Econometrics
  • Applied Mathematics

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