Universal portfolio selection strategy by aggregating online expert advice

DOI10.1007/S11081-020-09555-2MaRDI QIDQ2138290zbMATHOpenAlexFDO

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

zbMATH Keywords

online learninguniversal portfolioonline portfolio selectionweak aggregating algorithm

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• PORTFOLIO SELECTION AND ONLINE LEARNING
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• An Additive On-Line Portfolio Selection Algorithm

Cites work

• scientific article; zbMATH DE number 5960587 (Why is no real title available?)
• scientific article; zbMATH DE number 2243362 (Why is no real title available?)
• 10.1162/153244303321897672
• A class of on-line portfolio selection algorithms based on linear learning
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• Adjusted robust mean-value-at-risk model: less conservative robust portfolios
• Better than dynamic mean-variance: time inconsistency and free cash flow stream
• Constant rebalanced portfolios and side-information
• Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio
• Multi-objective portfolio selection model with fuzzy random returns and a compromise approach-based genetic algorithm
• On-line portfolio selection strategy with prediction in the presence of transaction costs
• On-line portfolio selection using stochastic programming
• On‐Line Portfolio Selection Using Multiplicative Updates
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• PAMR: passive aggressive mean reversion strategy for portfolio selection
• PORTFOLIO SELECTION AND ONLINE LEARNING
• Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach
• Stochastic nonstationary optimization for finding universal portfolios
• Switching Strategies for Sequential Decision Problems With Multiplicative Loss With Application to Portfolios
• The weak aggregating algorithm and weak mixability
• Transaction cost optimization for online portfolio selection
• Universal Portfolios
• Universal portfolios with and without transaction costs.
• Universal portfolios with side information
• Weak aggregating algorithm for the distribution-free perishable inventory problem

Cited in

(7)

• PORTFOLIO SELECTION AND ONLINE LEARNING
• Risk-adjusted exponential gradient strategies for online portfolio selection
• Distributed mean reversion online portfolio strategy with stock network
• Aggregating expert advice strategy for online portfolio selection with side information
• Developing new portfolio strategies by aggregation
• Online portfolio selection with state-dependent price estimators and transaction costs
• Adaptive moment estimation for universal portfolio selection strategy

Describes a project that uses

Uses Software

• PAMR

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