Online portfolio selection with long-short term forecasting
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Cites work
- AN ONLINE PORTFOLIO SELECTION ALGORITHM WITH REGRET LOGARITHMIC IN PRICE VARIATION
- Conditional value-at-risk and average value-at-risk: estimation and asymptotics
- scientific article; zbMATH DE number 5960587 (Why is no real title available?)
- scientific article; zbMATH DE number 2243362 (Why is no real title available?)
- Mean-CVaR portfolio selection: a nonparametric estimation framework
- NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES
- Online portfolio selection: a survey
- On‐Line Portfolio Selection Using Multiplicative Updates
- PAMR: passive aggressive mean reversion strategy for portfolio selection
- Risk management strategies for finding universal portfolios
- Short-term sparse portfolio optimization based on alternating direction method of multipliers
- Stochastic nonstationary optimization for finding universal portfolios
- Universal Portfolios
- Weighted elastic net penalized mean-variance portfolio design and computation
Cited in
(4)- Intelligent forecasting models-selection system for the portfolio internal structure change
- Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm
- scientific article; zbMATH DE number 7267180 (Why is no real title available?)
- A novel online portfolio selection strategy with multiperiodical asymmetric mean reversion
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