The Finite Order Multivariate Normal Universal Portfolio(Session 5C(IASC-ARS))

Abstract

The finite order multivariate normal universal portfolio is studied in this paper with the objective reducing the implementation time and computer-memory requirements substantially. The finite-order portfolios are run on some selected stock-price data sets from the local stock exchange. The wealths achieved over a modest length of time are recorded. Empirically, the performance of the finite-order multivariate normal universal portfolio is comparable to that of the Dirichlet universal portfolio and yet requiring substantially shorter implementation time.