A class of on-line portfolio selection algorithms based on linear learning
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Publication:388589
DOI10.1016/j.amc.2012.05.041zbMath1278.91183OpenAlexW1965614560MaRDI QIDQ388589
Xingyu Yang, Yong Zhang, Wei-jun Xu, Wei-Guo Zhang
Publication date: 2 January 2014
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2012.05.041
relative entropyconstant rebalanced portfolioinvestment algorithmlinear learningon-line portfoliouniversal portfolio
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