A class of on-line portfolio selection algorithms based on linear learning

DOI10.1016/j.amc.2012.05.041zbMath1278.91183OpenAlexW1965614560MaRDI QIDQ388589

Xingyu Yang, Yong Zhang, Wei-jun Xu, Wei-Guo Zhang

Publication date: 2 January 2014

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2012.05.041

zbMATH Keywords

relative entropyconstant rebalanced portfolioinvestment algorithmlinear learningon-line portfoliouniversal portfolio

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Related Items

Universal portfolio selection strategy by aggregating online expert advice ⋮ Adaptive moment estimation for universal portfolio selection strategy ⋮ Aggregating expert advice strategy for online portfolio selection with side information

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