Titlebook: Operator Theory and Harmonic Analysis; OTHA 2020, Part II – Alexey N. Karapetyants,Igor V. Pavlov,Albert N. Sh Conference proceedings 2021

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Out-of-Sample Utility Bounds for Empirically Optimal Portfolios in a Single-Period Investment Probled that the returns are independent and identically distributed and belong to an .. or an Orlicz . space. For concave utilities we give estimation error bounds for portfolios produced by the exponentiated gradient algorithm.