Abstract: The extended 𝑓-divergence between two functions of probability distributions is defined for a given convex function 𝑓and an increasing function 𝑔. A universal portfolio is generated from the zero gradient set of an objective function involving the estimated daily rate of wealth increase and the extended 𝑓-divergence. For specific convex functions f and increasing functions 𝑔 the form of the universal portfolio is derived. There exists a convex function such that the Bregman universal portfolio generated by this convex function is similar to the universal portfolio generated by the extended 𝑓-divergence
Keywords-universal portfolio, extended f-divergence,Bregman divergence.
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