Universal portfolio algorithm

[fmilthaler]

Implementation

[fmilthaler]

@PietropaoloFrisoni, if you are interested in this, you could have a look at this as well: Cover's Universal portfolio algorithm. Papers are listed as references, else you'll find information about it here: https://isl.stanford.edu/~cover/papers/paper93.pdf

I bet there is a python package somewhere on github that already has an implementation of it, that FinQuant could import and use.

Again, if you are interested in it, please assign it to yourself and feel free to add this, if not, that is fine too :)

[PietropaoloFrisoni]

Hi Frank, thanks a lot for the info. That sounds very interesting, and I'll indeed look deeper into it. Please let me think about assigning the PR to myself since there are also other features I would like to implement first. I want to take responsibility for a PR only if I'm sure I will complete it in a reasonable amount of time. In the meantime, if you want to start implementing it yourself, of course, it is all yours : )

Best

[fmilthaler]

I actually am less interested in adding this, but I thought this might be interesting for you and your learning. Whenever you want to look into it, I'd be happy with that. As always, no rush nor pressure, you go at your own time :)

For the context, I created this issue in 2019, when I first launched FinQuant, and I stumbled upon this type of portfolio and thought it would be a good addition, but clearly I never worked on it (and I probably never will work on it myself, as my career went in another direction) ;)