Universal Portfolios Generated by f-Disparity Differences.

The f-divergence of Csiszar is well-known in information theory and statistical inference as a measure of the distance between two probability distributions. The f-divergence is generated by a convex function. A weaker form of the f-divergence is known as a f-disparity difference which is generated by a f-disparity function which is not necessarily convex. The universal portfolio generated by a f-disparity difference is studied empirically with respect to the accumulation of wealth of the investor. It is possible to increase the investor wealth using such a portfolio in investing in a stock market. [ABSTRACT FROM AUTHOR]