PAMR: passive aggressive mean reversion strategy for portfolio selection
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Publication:420935
DOI10.1007/S10994-012-5281-ZzbMATH Open1238.91128OpenAlexW2106052345MaRDI QIDQ420935FDOQ420935
Authors: Peilin Zhao, Vivekanand Gopalkrishnan, Bin Li, Steven C. H. Hoi 
Publication date: 23 May 2012
Published in: Machine Learning (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/sis_research/2295
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Cited In (19)
- Distributed mean reversion online portfolio strategy with stock network
- Online portfolio selection with state-dependent price estimators and transaction costs
- Optimal online algorithms for the portfolio selection problem, bi-directional trading and -search with interrelated prices
- Title not available (Why is that?)
- Adaptive online portfolio strategy based on exponential gradient updates
- A kernel-based trend pattern tracking system for portfolio optimization
- A lossless online Bayesian classifier
- Adaptive online portfolio selection with transaction costs
- Adaptive moment estimation for universal portfolio selection strategy
- Closed-form solutions for short-term sparse portfolio optimization
- Universal portfolio selection strategy by aggregating online expert advice
- Transaction cost optimization for online portfolio selection
- Risk-adjusted exponential gradient strategies for online portfolio selection
- A novel online portfolio selection strategy with multiperiodical asymmetric mean reversion
- Aggregating expert advice strategy for online portfolio selection with side information
- The two-step problem of investment portfolio selection from two risk assets via the probability criterion
- Algorithmic trading for online portfolio selection under limited market liquidity
- Online portfolio selection with long-short term forecasting
- Online portfolio selection
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