A novel online portfolio selection strategy with multiperiodical asymmetric mean reversion (Q779095): Difference between revisions

Portfolio optimization is the process of selecting the best portfolio (asset distribution), out of the set of all portfolios being considered, according to some objective. Mean reversion is an important property when constructing efficient contrarian strategies. To better utilize mean reversion and improve the existing online portfolio selection strategies,a new online strategy named multiperiodical asymmetric mean reversion (MAMR) is considered. The MAMR strategy incorporates a multipiecewise loss function with the moving average method and then imitates the passive-aggressive algorithm. After that a convex optimization is used. This strategy runs in linear time and thus is suitable for large-scale trading applications. A the paper gives a new ideas which open the gate for new perspectives of researching.