The universal portfolio algorithm is a portfolio selection algorithm from the fields of machine learning and information theory. It learns adaptively from historical price data and aims to maximize the long run log-optimal growth rate of wealth, in the sense of the Kelly criterion. This description is adapted from Wikipedia contributors under CC BY-SA 4.0; changes were made. https://creativecommons.org/licenses/by-sa/4.0/
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Wikipedia: Universal portfolio algorithm
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The universal portfolio algorithm is a portfolio selection algorithm from the field of machine learning and information theory.
In Group: Supervised and Online Learning Algorithms, Introduction
The universal portfolio algorithm is a portfolio selection algorithm from the field of machine learning and information theory.
- In Field: Machine Learning, Lead paragraph
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