Universal Portfolio, introduced in the paper titled "Universal Portfolios," is a pioneering algorithmic trading strategy in the field of computational finance. The Universal Portfolio is notable for its theoretical underpinnings and its ability to achieve remarkable performance in a competitive setting. Universal Portfolio is a portfolio optimization strategy that aims to achieve superior wealth accumulation compared to other investment strategies over time. After observing the relative performance of assets, the portfolio is rebalanced to allocate more capital to assets that have performed well in the past, and less to underperforming assets. One of the notable aspects of the Universal Portfolio is its performance guarantees in terms of the wealth accumulation rate. It provides theoretical bounds on the competitiveness of the strategy relative to the best-performing asset.
The write up for the algorithm can be found at this link:
