Choon Peng TanYap Jia LeeL.E. TeohW.S. Ng2024-11-012024-11-012021https://doi.org/10.1051/itmconf/20213602003https://dspace-cris.utar.edu.my/handle/123456789/5758<jats:p>An inequality involving the Kullback-Leibler and chi-square divergences is used to generate new universal portfolios for investment. The stationary vector of an objective function is determined for the purpose of deciding the next-day portfolio given the current-day portfolio and the current-day price relative vector. The two-parameter portfolio is studied empirically by running the portfolio on selected stock-price data sets from the local stock exchange. It is demonstrated that the wealth of the investor can be increased by using the proposed universal portfolio.</jats:p>Universal portfolios generated by an inequality involving the Kullback-Leibler and chi-square divergencesjournal-article