Universal portfolio selection strategy by aggregating online expert advice
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Recommendations
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Cites work
- 10.1162/153244303321897672
- A class of on-line portfolio selection algorithms based on linear learning
- A multi-period fuzzy portfolio optimization model with minimum transaction lots
- Adjusted robust mean-value-at-risk model: less conservative robust portfolios
- AN ONLINE PORTFOLIO SELECTION ALGORITHM WITH REGRET LOGARITHMIC IN PRICE VARIATION
- 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
- scientific article; zbMATH DE number 5960587 (Why is no real title available?)
- scientific article; zbMATH DE number 2243362 (Why is no real title available?)
- 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
(10)- PORTFOLIO SELECTION AND ONLINE LEARNING
- Adaptive moment estimation for universal portfolio selection strategy
- Online portfolio selection with state-dependent price estimators and transaction costs
- Distributed mean reversion online portfolio strategy with stock network
- Risk-adjusted exponential gradient strategies for online portfolio selection
- Uncertain online portfolio selection with LSTM predictors
- Aggregating weight transfer online portfolio strategy based on investors' attention
- Network-based online portfolio selection with ESG scores
- Aggregating expert advice strategy for online portfolio selection with side information
- Developing new portfolio strategies by aggregation
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