Cover's universal portfolio vs. Markowitz's mean-variance model
develarist
Cover's universal portfolio maximizes the wealth growth rate Markowitz's mean-variance model minimizes portfolio variance Both allocate assets based on historical returns. How do these two models perform against one another (assuming for Markowitz we use the global minimum variance portfolio by default). How does the universal portfolio compare against the equally-weighted portfolio that is known to outperform Markowitz sometimes? Does the universal portfolio provide portfolio weights in-sample