英文标题：
《Log-Optimal Portfolio Selection Using the Blackwell Approachability
  Theorem》
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作者：
Vladimir V\'yugin
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最新提交年份：
2015
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英文摘要：
  We present a method for constructing the log-optimal portfolio using the well-calibrated forecasts of market values. Dawid\'s notion of calibration and the Blackwell approachability theorem are used for computing well-calibrated forecasts. We select a portfolio using this \"artificial\" probability distribution of market values. Our portfolio performs asymptotically at least as well as any stationary portfolio that redistributes the investment at each round using a continuous function of side information. Unlike in classical mathematical finance theory, no stochastic assumptions are made about market values.
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中文摘要：
我们提出了一种利用经过良好校准的市场价值预测构建对数最优投资组合的方法。Dawid的校准概念和Blackwell可接近性定理用于计算校准良好的预测。我们使用这种“人工”的市场价值概率分布来选择投资组合。我们的投资组合的表现至少与任何平稳的投资组合一样，都是渐进的，即使用边信息的连续函数在每一轮重新分配投资。与经典的数学金融理论不同，市场价值没有随机假设。
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分类信息：

一级分类：Computer Science        计算机科学
二级分类：Artificial Intelligence        人工智能
分类描述：Covers all areas of AI except Vision, Robotics, Machine Learning, Multiagent Systems, and Computation and Language (Natural Language Processing), which have separate subject areas. In particular, includes Expert Systems, Theorem Proving (although this may overlap with Logic in Computer Science), Knowledge Representation, Planning, and Uncertainty in AI. Roughly includes material in ACM Subject Classes I.2.0, I.2.1, I.2.3, I.2.4, I.2.8, and I.2.11.
涵盖了人工智能的所有领域，除了视觉、机器人、机器学习、多智能体系统以及计算和语言（自然语言处理），这些领域有独立的学科领域。特别地，包括专家系统，定理证明（尽管这可能与计算机科学中的逻辑重叠），知识表示，规划，和人工智能中的不确定性。大致包括ACM学科类I.2.0、I.2.1、I.2.3、I.2.4、I.2.8和I.2.11中的材料。
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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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