Competitive portfolio selection using stochastic predictions

DOI10.1007/978-3-319-46379-7_20MaRDI QIDQ2831387zbMATH OpenOpenAlexFDO

Authors Tuğkan Batu, Pongphat Taptagaporn

Publication date 9 November 2016

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL http://eprints.lse.ac.uk/67338/1/Batu_Competitive%20portfolio_2016.pdf

zbMATH Keywords

BAND

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Empirical Portfolio Selection Strategies With Proportional Transaction Costs
• Internal regret in on-line portfolio selection
• Logarithmic regret algorithms for online convex optimization
• Optimum consumption and portfolio rules in a continuous-time model
• The pricing of options and corporate liabilities
• Universal Portfolios
• Universal portfolios with and without transaction costs.
• Universal portfolios with side information

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• BOOSTING-BASED FRAMEWORK FOR PORTFOLIO STRATEGY DISCOVERY AND OPTIMIZATION
• Portfolio selection in non-stationary markets

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