Proceedings of the International Conference on Mathematical Sciences and Statistics 2022 (ICMSS 2022)

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Short-Term Performance of the Probability-Based Universal Portfolio

Authors
Sook Theng Pang1, *, How Hui Liew1, Jia Lin Neoh1
1Department of Mathematical and Actuarial Science, Lee Kong Chian Faculty of Engineering and Science, Universiti Tunku Abdul Rahman, Petaling Jaya, Selangor, Malaysia
*Corresponding author. Email: pangst@utar.edu.my
Corresponding Author
Sook Theng Pang
Available Online 12 December 2022.
DOI
10.2991/978-94-6463-014-5_2How to use a DOI?
Keywords
Universal portfolio; Multinomial distribution; Multivariate Normal distribution; short term
Abstract

Universal portfolio is an investment strategy that produced an efficient performance in the stock market. Two universal portfolios generated by probability distribution, namely multinomial distribution universal portfolio and multivariate normal distribution universal portfolio are selected in this study. The above two universal portfolios are run on selected stock-price data sets from the local stock exchange. Empirical results show that the above two universal portfolios perform well for short term period.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the International Conference on Mathematical Sciences and Statistics 2022 (ICMSS 2022)
Series
Advances in Computer Science Research
Publication Date
12 December 2022
ISBN
978-94-6463-014-5
ISSN
2352-538X
DOI
10.2991/978-94-6463-014-5_2How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Sook Theng Pang
AU  - How Hui Liew
AU  - Jia Lin Neoh
PY  - 2022
DA  - 2022/12/12
TI  - Short-Term Performance of the Probability-Based Universal Portfolio
BT  - Proceedings of the International Conference on Mathematical Sciences and Statistics 2022 (ICMSS 2022)
PB  - Atlantis Press
SP  - 3
EP  - 10
SN  - 2352-538X
UR  - https://doi.org/10.2991/978-94-6463-014-5_2
DO  - 10.2991/978-94-6463-014-5_2
ID  - Pang2022
ER  -