Adaptive robust online portfolio selection

DOI10.1016/J.EJOR.2024.09.002MaRDI QIDQ6982430zbMATH OpenFDO

Authors Man Yiu Tsang, Tony Sit, Hoi Ying Wong

Publication date 19 May 2025

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.EJOR.2024.09.002

zbMATH Keywords

adaptive parameter selectionportfolio optimizationrobust optimizationtransaction costs

Mathematics Subject Classification ID

Robustness in mathematical programming (90C17) Portfolio theory (91G10)

Cites work

• A Robust Optimization Approach to Inventory Theory
• Adaptive online portfolio selection with transaction costs
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Growth Optimal Investment with Transaction Costs
• Handbook of economic forecasting. Volume 2. 2 volume set 2A-2B
• Handbooks in operations research and management science: Simulation
• scientific article; zbMATH DE number 2243362 (Why is no real title available?)
• Indifference-Zone-Free Selection of the Best
• Loss control with rank-one covariance estimate for short-term portfolio optimization
• NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES
• Nonparametric nearest neighbor based empirical portfolio selection strategies
• On implementing a primal-dual interior-point method for conic quadratic optimization
• Online portfolio selection: a survey
• On‐Line Portfolio Selection Using Multiplicative Updates
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• PAMR: passive aggressive mean reversion strategy for portfolio selection
• Portfolio optimization with entropic value-at-risk
• Portfolio optimization with linear and fixed transaction costs
• Portfolio selection under distributional uncertainty: a relative robust CVaR approach
• Recent advances in robust optimization: an overview
• Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
• Robust optimization
• Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty
• Robust portfolio optimization: a categorized bibliographic review
• Robust Portfolio Selection Problems
• Robust portfolios: contributions from operations research and finance
• Selecting a selection procedure
• Short-term sparse portfolio optimization based on alternating direction method of multipliers
• Theory and applications of robust optimization
• Transaction cost optimization for online portfolio selection
• Universal Portfolios

Cited in

(2)

• Dynamic mode decomposition for online portfolio selection task
• Dynamic futures portfolio strategy: a multi-criteria nested sequential three-state three-way decision model based on herd behavior

This page was built for publication: Adaptive robust online portfolio selection

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6982430)