Competitive portfolio selection using stochastic predictions

DOI10.1007/978-3-319-46379-7_20zbMATH Open1483.91212OpenAlexW2489175011MaRDI QIDQ2831387FDOQ2831387

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

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zbMATH Keywords

BAND

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• The pricing of options and corporate liabilities
• Optimum consumption and portfolio rules in a continuous-time model
• Title not available (Why is that?)
• Logarithmic regret algorithms for online convex optimization
• Universal Portfolios
• Universal portfolios with side information
• Internal regret in on-line portfolio selection
• Universal portfolios with and without transaction costs.
• Empirical Portfolio Selection Strategies With Proportional Transaction Costs

Cited In (3)

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• BOOSTING-BASED FRAMEWORK FOR PORTFOLIO STRATEGY DISCOVERY AND OPTIMIZATION

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