Garivaltis, Alex - In: International Journal of Financial Studies : open … 9 (2021) 1/11, pp. 1-17
This note provides a neat and enjoyable expansion and application of the magnificent Ordentlich-Cover theory of "universal portfolios". I generalize Cover's benchmark of the best constant-rebalanced portfolio (or 1-linear trading strategy) in hindsight by considering the best bilinear trading...
