PAMR: passive aggressive mean reversion strategy for portfolio selection
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Cites work
- scientific article; zbMATH DE number 5957338 (Why is no real title available?)
- scientific article; zbMATH DE number 3179081 (Why is no real title available?)
- scientific article; zbMATH DE number 107482 (Why is no real title available?)
- scientific article; zbMATH DE number 1232130 (Why is no real title available?)
- scientific article; zbMATH DE number 1512687 (Why is no real title available?)
- scientific article; zbMATH DE number 2086680 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
- scientific article; zbMATH DE number 6253917 (Why is no real title available?)
- scientific article; zbMATH DE number 2243362 (Why is no real title available?)
- 10.1162/15324430260185600
- 10.1162/153244303321897672
- 10.1162/jmlr.2003.3.4-5.951
- A finite algorithm for finding the projection of a point onto the canonical simplex of \({\mathbb R}^ n\)
- An asymptotic analysis of the mean-variance portfolio selection
- Efficient Universal Portfolios for Past‐Dependent Target Classes
- Empirical Bayes stock market portfolios
- From external to internal regret
- Growth Optimal Investment with Transaction Costs
- Internal regret in on-line portfolio selection
- KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES
- Large margin classification using the perceptron algorithm
- Logarithmic regret algorithms for online convex optimization
- NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES
- Nonparametric nearest neighbor based empirical portfolio selection strategies
- On the Generalization Ability of On-Line Learning Algorithms
- Online Learning with Kernels
- PORTFOLIO SELECTION AND ONLINE LEARNING
- Prediction, Learning, and Games
- The relaxed online maximum margin algorithm
- Universal Portfolios
- Universal portfolios with and without transaction costs.
- Universal portfolios with side information
Cited in
(19)- Risk-adjusted exponential gradient strategies for online portfolio selection
- Adaptive online portfolio strategy based on exponential gradient updates
- Distributed mean reversion online portfolio strategy with stock network
- Short-term sparse portfolio optimization based on alternating direction method of multipliers
- A novel online portfolio selection strategy with multiperiodical asymmetric mean reversion
- Aggregating expert advice strategy for online portfolio selection with side information
- Transaction cost optimization for online portfolio selection
- Online portfolio selection with long-short term forecasting
- Universal portfolio selection strategy by aggregating online expert advice
- Closed-form solutions for short-term sparse portfolio optimization
- A kernel-based trend pattern tracking system for portfolio optimization
- Online portfolio selection with state-dependent price estimators and transaction costs
- A lossless online Bayesian classifier
- Algorithmic trading for online portfolio selection under limited market liquidity
- Adaptive online portfolio selection with transaction costs
- Adaptive moment estimation for universal portfolio selection strategy
- The two-step problem of investment portfolio selection from two risk assets via the probability criterion
- Online portfolio selection: a survey
- Optimal online algorithms for the portfolio selection problem, bi-directional trading and -search with interrelated prices
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