Adaptive online portfolio strategy based on exponential gradient updates

DOI10.1007/s10878-021-00800-7zbMath1491.91127OpenAlexW3200552765WikidataQ115604002 ScholiaQ115604002MaRDI QIDQ2125237

Hong Lin, Xingyu Yang, Lina Zheng, Yong Zhang

Publication date: 13 April 2022

Published in: Journal of Combinatorial Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10878-021-00800-7

zbMATH Keywords

adaptive strategylearning ratequantitative financeonline portfolio selectionexponential gradient

Mathematics Subject Classification ID

Portfolio theory (91G10)

Uses Software

• CORN
• PAMR

Cites Work

• Unnamed Item
• Unnamed Item
• PAMR: passive aggressive mean reversion strategy for portfolio selection
• Online leasing problem with price fluctuations under the consumer price index
• Aggregating expert advice strategy for online portfolio selection with side information
• Universal portfolios with and without transaction costs.
• Online scheduling on a single machine with linear deteriorating processing times and delivery times
• Online economic ordering problem for deteriorating items with limited price information
• A kernel-based trend pattern tracking system for portfolio optimization
• Universal Portfolios
• Transaction cost optimization for online portfolio selection
• Binary switch portfolio
• On‐Line Portfolio Selection Using Multiplicative Updates
• Universal portfolios with side information
• Gaussian Weighting Reversion Strategy for Accurate Online Portfolio Selection
• Stochastic nonstationary optimization for finding universal portfolios

This page was built for publication: Adaptive online portfolio strategy based on exponential gradient updates