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Universal Portfolios
Thomas M. Cover
Algorithmic Investing / Information TheoryResource overview

Universal Portfolios

Paper1996

by Thomas M. Cover

Tags
Algorithmic InvestingInformation TheoryOnline Portfolio SelectionPortfolio OptimizationUniversal Portfolios

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Understand this paper

Suggested foundations for portfolio construction. Specialist prerequisites vary by paper.

Before you read

  1. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

  2. Constrained and Convex Optimisation

    Read objectives, constraints and optimality conditions.

Go further

  1. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

  2. Portfolio Constraints

    Turn mathematical weights into feasible portfolio decisions.

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