On the competitive theory and practice of portfolio selection. (Extended abstract) (Q4508375)
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scientific article; zbMATH DE number 1512687
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| English | On the competitive theory and practice of portfolio selection. (Extended abstract) |
scientific article; zbMATH DE number 1512687 |
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3 October 2000
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buy and hold algorithm
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constant-rebalance algorithm
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switching sequences
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portfolio selection
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online portfolio selection algorithms
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0.8296294808387756
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0.8274655938148499
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0.8239017724990845
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0.822434663772583
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On the competitive theory and practice of portfolio selection. (Extended abstract) (English)
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This paper considers portfolio selection. By a given set of \(m\) stocks, the online portfolio selection problem is to determine a portfolio for the \(i\)th trading period based on the sequence of prices of the preceeding \(i-1\) trading periods. It regards three cases, the Buy and Hold Algorithm, the constant-Rebalance Algorithm and Switching Sequences (extremal algorithm). After some basic properties of the portfolio selection algorithms different online portfolio selection algorithms are compared. The paper closes with experimental results. For the entire collection see [Zbl 0935.00049].
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