In this paper we present an approach to quantify the maximum worth of active portfolio management in a multi-period setting. This methodology estimates a hindsight upper bound on active management fees. The methodology is demonstrated in an empirical study for the Energy industry. In this study...

A simple characterisation of a naive investor, in terms of tolerance of Drawdown Risk, is presented which allows investors focusing on cumulative returns (rather than consumption) to easily and simply quantify their investment choices

A method of pension portfolio management with Minimax Regret with respect to the best hindsight constant-mix portfolio is presented. This is achieved via a BHCM derivative contract, where several approaches for pricing such a derivative are exhibited. A set of Empirical comparisons with more...

In this article, we consider Cover's universal portfolio and the problem of multi-period investment in a nonparametric setting. We show that Cover's universal portfolio is equivalent to a Bayes estimator of the optimal growth portfolio. However, as noted by Cover, it can take a long time for the...