Digital Signal Processing Reference
In-Depth Information
Fig. 15.3
Up
Comparison
of cumulated returns minus
premia (certainty equivalents)
for
A
(
bold lines
) versus
the Uniform Cost Rebal-
anced Portfolio (
UCRP
,
thin
lines
). Parameters for the
algorithms are:
a
2
A
UCRP
1.8
1.6
1.4
1.2
=
100
,
r
=
=
1
,
q
=
2
.
1
, η
=
100,
1
premium divergence
=
0.8
Mahalanobis.
Down
Kullback-Leibler divergence
between two successive port-
folios for
A
0.6
0.4
0.2
0
-0.2
0
100
200
300
400
500
600
T
0.4
A
0.35
0.3
0.25
0.2
0.15
0.1
0.05
0
0
100
200
300
400
500
600
T
displays the relevance of the generalized mean-divergence model. Changing the pre-
mium generator may indeed yield to dramatic peaks of premia that can alert the
investor on significant events at the market scale, like in Fig.
15.4
, for which the
tallest peaks appear during the subprime crisis.
