Internal regret in on-line portfolio selection

DOI10.1007/s10994-005-0465-4zbMath1111.91020OpenAlexW1963858753MaRDI QIDQ5916205

Gábor Lugosi, Gilles Stoltz

Publication date: 17 June 2005

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

Full work available at URL: https://doi.org/10.1007/s10994-005-0465-4

zbMATH Keywords

universal portfoliointernal regretEG strategyindividual sequenceson-line investment

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Online algorithms; streaming algorithms (68W27)

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