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Portfolio management without probabilities or statistics

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Abstract

Considered here is on-line portfolio management aimed at maximizing the long-run growth of financial wealth. The portfolio is repeatedly rebalanced in response to observed returns on diverse assets. Suppose statistical information and related methods are not available—or deemed too difficult. On that assumption this paper explores how an adaptive procedure, which totally dispenses with statistics and associated competence, nonetheless may solve the problem over time.

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Authors and Affiliations

  1. Economics Department, Bergen University, 5007, Bergen, Norway

    Sjur Didrik Flåm

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  1. Sjur Didrik Flåm
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Correspondence to Sjur Didrik Flåm.

Additional information

Support from Finansmarkedsfondet, University of Lund, STINT, and University of Zürich is gratefully acknowledged. Thanks are due a referee for most helpful remarks.

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Flåm, S.D. Portfolio management without probabilities or statistics. Ann Finance 6, 357–368 (2010). https://doi.org/10.1007/s10436-008-0106-6

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  • DOI: https://doi.org/10.1007/s10436-008-0106-6

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