摘要
阐述了组合证券以及泛组合证券的基本概念,根据Cover(1991)提出的泛组合证券策略和Cover(1996)给出的计算b^n的递推算法,提出了泛组合证券选择b^n的一个改进的递推算法,该算法比Cover(1996)’s要简单得多.最后根据证券市场中的数据给出仿真和结果.
The conception and some principles of portfolio and universal portfolio were first introduced, and based on the universal portfolio strategy presented by Cover（ 1991 ） and an iterative algorithm for given by Cover（1996）, an improved iterative algorithm for universal portfolio selection was presented. This algorithm is much simpler than Cover（1996）＇s. Finally, the data from stock market was simulated and the result was given.
出处
《西安文理学院学报（自然科学版）》
2007年第2期77-79,共3页
Journal of Xi’an University(Natural Science Edition)
