Universal portfolios generated by the Renyi and generalized Kullback-Leibler divergences

Universal portfolios generated by the Renyi and generalized Kullback-Leibler divergences are derived. The relationship between the functional forms of the two types of universal portfolios is presented. The functional forms are implicit and hence the pseudo versions of the portfolios are useful. The portfolios are run on selected stock-price data sets from the local stock exchange and promising results are obtained.