PAMR: passive aggressive mean reversion strategy for portfolio selection

DOI10.1007/S10994-012-5281-ZzbMath1238.91128OpenAlexW2106052345MaRDI QIDQ420935

Vivekanand Gopalkrishnan, Peilin Zhao, Steven C. H. Hoi, Bin Li

Publication date: 23 May 2012

Published in: Machine Learning (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/sis_research/2295

zbMATH Keywords

Online learningMean reversionPassive aggressive learningPortfolio selection

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (17)

Adaptive online portfolio strategy based on exponential gradient updates ⋮ Universal portfolio selection strategy by aggregating online expert advice ⋮ Transaction cost optimization for online portfolio selection ⋮ Closed-form solutions for short-term sparse portfolio optimization ⋮ Algorithmic trading for online portfolio selection under limited market liquidity ⋮ Adaptive moment estimation for universal portfolio selection strategy ⋮ Online portfolio selection with state-dependent price estimators and transaction costs ⋮ A lossless online Bayesian classifier ⋮ The two-step problem of investment portfolio selection from two risk assets via the probability criterion ⋮ Adaptive online portfolio selection with transaction costs ⋮ Online portfolio selection ⋮ A kernel-based trend pattern tracking system for portfolio optimization ⋮ Unnamed Item ⋮ Optimal online algorithms for the portfolio selection problem, bi-directional trading and -search with interrelated prices ⋮ Online portfolio selection with long-short term forecasting ⋮ A novel online portfolio selection strategy with multiperiodical asymmetric mean reversion ⋮ Aggregating expert advice strategy for online portfolio selection with side information

Uses Software

• CORN
• PAMR

Cites Work

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