An Additive On-Line Portfolio Selection Algorithm

DOI10.1080/716067188MaRDI QIDQ4466857zbMATH OpenOpenAlexFDO

Authors LanJun Lao

Publication date 8 June 2004

Published in Systems Analysis Modelling Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/716067188

zbMATH Keywords

active portfolio managementsimulationtransaction costs

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Portfolio theory (91G10)

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(9)

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• Adaptive online portfolio selection with transaction costs
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• On‐Line Portfolio Selection Using Multiplicative Updates
• AN ONLINE PORTFOLIO SELECTION ALGORITHM WITH REGRET LOGARITHMIC IN PRICE VARIATION
• Robust and adaptive algorithms for online portfolio selection
• Adaptive moment estimation for universal portfolio selection strategy
• On-line portfolio selection using stochastic programming

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