Malaysian Journal of Mathematical Sciences, April 2019, Vol. 13(S)
Special Issue: 3rd International Conference on Mathematical Sciences and Statistics (ICMSS2018)
Performance of Finite Order Stochastic Process Generated Universal Portfolios
Pang, S. T., Liew, H. H. and Chang, Y. F.
Corresponding Email: pangst@utar.edu.my
Received date: -
Accepted date: -
Abstract:
Stochastic processes based universal portfolio is a good generalisation universal portfolio which is believed be able to perform well with the right stochastic processes. The empirical performance of the stochastic process generated universal portfolio are analysed experimentally concerning 10 higher volume stocks from different categories in Kuala Lumpur Stock Exchange. The time interval of study is from January 2000 to December 2015, which includes the credit crisis from September 2008 to March 2009. A Constant Rebalanced Portfolio (CRP) is an investment strategy which reinvests by redistributing wealth equally among a set of stocks. The empirical performance of the finite-order universal portfolio generated by stochastic process shown to be better than Constant Rebalanced Portfolio with properly chosen parameters.
Keywords: Stochastic process, universal portfolio
Indexing
