Universal portfolio selection strategy by aggregating online expert advice

DOI10.1007/S11081-020-09555-2zbMATH Open1490.91184OpenAlexW3083755516MaRDI QIDQ2138290FDOQ2138290

Authors: Xingyu Yang, Jin'An He 

Publication date: 11 May 2022

Published in: Optimization and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11081-020-09555-2

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zbMATH Keywords

online learninguniversal portfolioonline portfolio selectionweak aggregating algorithm

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Universal Portfolios
• Universal portfolios with side information
• A multi-period fuzzy portfolio optimization model with minimum transaction lots
• Better than dynamic mean-variance: time inconsistency and free cash flow stream
• Weak aggregating algorithm for the distribution-free perishable inventory problem
• The weak aggregating algorithm and weak mixability
• On-line portfolio selection using stochastic programming
• A class of on-line portfolio selection algorithms based on linear learning
• On‐Line Portfolio Selection Using Multiplicative Updates
• 10.1162/153244303321897672
• Stochastic nonstationary optimization for finding universal portfolios
• Universal portfolios with and without transaction costs.
• PORTFOLIO SELECTION AND ONLINE LEARNING
• PAMR: passive aggressive mean reversion strategy for portfolio selection
• Title not available (Why is that?)
• Multi-objective portfolio selection model with fuzzy random returns and a compromise approach-based genetic algorithm
• Switching Strategies for Sequential Decision Problems With Multiplicative Loss With Application to Portfolios
• On-line portfolio selection strategy with prediction in the presence of transaction costs
• Constant rebalanced portfolios and side-information
• Transaction cost optimization for online portfolio selection
• AN ONLINE PORTFOLIO SELECTION ALGORITHM WITH REGRET LOGARITHMIC IN PRICE VARIATION
• Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach
• Adjusted robust mean-value-at-risk model: less conservative robust portfolios
• Title not available (Why is that?)
• Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio

Cited In (4)

• Distributed mean reversion online portfolio strategy with stock network
• Online portfolio selection with state-dependent price estimators and transaction costs
• Adaptive moment estimation for universal portfolio selection strategy
• PORTFOLIO SELECTION AND ONLINE LEARNING

Uses Software

• PAMR

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