Abstract
Universal portfolios generated by the multivariate normal distribution are studied with emphasis on the case where variables are dependent, namely, the covariance matrix is not diagonal. The moving-order multivariate normal universal portfolio requires very long implementation time and large computer memory in its implementation. With the objective of reducing memory and implementation time, the finite-order universal portfolio is introduced. Some stock-price data sets are selected from the local stock exchange and the finite-order universal portfolio is run on the data sets, for small finite order. Empirically, it is shown that the portfolio can outperform the moving-order Dirichlet universal portfolio of Cover and Ordentlich[2] for certain parameters in the selected data sets.
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