Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Cover's universal portfolio, stochastic portfolio theory and the
  numeraire portfolio   Cover's celebrated theorem states that the long run yield of a properly
chosen "universal" portfolio is as good as the long run yield of the best
retrospectively chosen constant rebalanced portfolio. The "universality"
pertains to the fact that this result is model-free, i.e., not dependent on an
underlying stochastic process. We extend Cover's theorem to the setting of
stochastic portfolio theory as initiated by R. Fernholz: the rebalancing rule
need not to be constant anymore but may depend on the present state of the
stock market. This model-free result is complemented by a comparison with the
log-optimal numeraire portfolio when fixing a stochastic model of the stock
market. Roughly speaking, under appropriate assumptions, the optimal long run
yield coincides for the three approaches mentioned in the title of this paper.
We present our results in discrete and continuous time.

25
The categories of this paper are: patt-sol
14
The categories of this paper are: math-ph
26
The categories of this paper are: bayes-an
20
The categories of this paper are: acc-phys
34
The categories of this paper are: chem-ph
11
The categories of this paper are: hep-lat
36
The categories of this paper are: cmp-lg
7
The categories of this paper are: hep-th
31
The categories of this paper are: ao-sci
32
The categories of this paper are: atom-ph
4
The categories of this paper are: cond-mat
12
The categories of this paper are: nucl-th
5
The categories of this paper are: gr-qc
29
The categories of this paper are: funct-an
1
The categories of this paper are: cs
13
The categories of this paper are: quant-ph