Universal Portfolio - Maple Application Center
Application Center Applications Universal Portfolio

Universal Portfolio

Author
: marcus .
Engineering software solutions from Maplesoft
This Application runs in Maple. Don't have Maple? No problem!
 Try Maple free for 15 days!

The reason why I started to get interested in this universal
portfolio stuff was because of Brian Chen's paper Review
of Universal Portfolios with Side Information where he writes:

"A key insight in the development of these universal
portfolios is that the average of a set of exponentials
grows exponentially as fast as the largest exponential"

The purpose of this worksheet is to test if this is true.

Application Details

Publish Date: October 05, 2010
Created In: Maple 14
Language: English

Tags

economics

More Like This

Constrained Optimization
Nash Equilibrium in a Static and Dynamic Duopoly Cournot Model
The Normal Distribution and the Central Limit Theorem
Stability of Differential Equations
Dynamic Programming and the Bellman Equation
Predator and Prey Model
The Black-Litterman Asset Allocation Model
Intertemporal Consumption Dynamics
Cake Eating in Finite and Infinite Time
Simulation of Stock Paths
The Concept of Significance
Saddle Path Equilibrium in a Phase Plane and Space