Universal Portfolios
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Publication:4345877
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Cites work
- scientific article; zbMATH DE number 3342731 (Why is no real title available?)
- A bound on the financial value of information
- A convergent gambling estimate of the entropy of English
- An algorithm for maximizing expected log investment return
- An analog of the minimax theorem for vector payoffs
- Empirical Bayes stock market portfolios
- Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
- Optimal strategies for repeated games
Cited in
(only showing first 100 items - show all)- Optimal capital growth with convex shortfall penalties
- Multiagent cooperative search for portfolio selection
- Risk management strategies for finding universal portfolios
- Adaptive online portfolio strategy based on exponential gradient updates
- A strategy-proof test of portfolio returns
- Adaptive strategies in Kelly’s horse races model
- Binary switch portfolio
- Short-term sparse portfolio optimization based on alternating direction method of multipliers
- Simulated annealing algorithm for optimal capital growth
- A computational definition of financial randomness
- Generalized self-concordant analysis of Frank-Wolfe algorithms
- Linear programming with online learning
- High-risk and competitive investment models
- Empirical log-optimal portfolio selections: a survey
- Predicting a binary sequence almost as well as the optimal biased coin
- Online portfolio selection with long-short term forecasting
- Automated trading with boosting and expert weighting
- Random concave functions
- Universal portfolio selection strategy by aggregating online expert advice
- Robust asymptotic growth in stochastic portfolio theory under long‐only constraints
- Mean-variance efficiency of optimal power and logarithmic utility portfolios
- scientific article; zbMATH DE number 7625184 (Why is no real title available?)
- A kernel-based trend pattern tracking system for portfolio optimization
- Delayed information and action in on-line algorithms
- Volatility-induced financial growth
- On selection of efficient portfolios for maximum long-run rate of growth
- Universal semiconstant rebalanced portfolios
- An improvement on El-Yaniv-Fiat-Karp-Turpin's money-making bi-directional trading strategy
- Meta algorithms for portfolio optimization using reinforcement learning
- The entropic barrier: exponential families, log-concave geometry, and self-concordance
- Measuring the efficiency of the intraday Forex market with a universal data compression algorithm
- Competitive portfolio selection using stochastic predictions
- A CONTINUOUS TIME APPROXIMATION OF AN EVOLUTIONARY STOCK MARKET MODEL
- The TEAM Approach to Investing
- Shrinkage for covariance estimation: asymptotics, confidence intervals, bounds and applications in sensor monitoring and finance
- On asymptotic log-optimal portfolio optimization
- GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS
- Algorithmic trading for online portfolio selection under limited market liquidity
- On optimal retirement
- Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio
- Approximating the growth optimal portfolio and stock price bubbles
- Universal portfolios generated by Toeplitz matrices
- Adaptive online portfolio selection with transaction costs
- Relation between the rate of convergence of strong law of large numbers and the rate of concentration of Bayesian prior in game-theoretic probability
- Regret to the best vs. regret to the average
- Functional portfolio optimization in stochastic portfolio theory
- Competitive difference analysis of the cash management problem with uncertain demands
- Rational pricing of leveraged ETF expense ratios
- Optimal online algorithms for the portfolio selection problem, bi-directional trading and -search with interrelated prices
- Learning in network contexts: experimental results from simulations
- Evolutionary stability of portfolio rules in incomplete markets
- A variational formula for risk-sensitive reward
- Recursive forecast combination for dependent heterogeneous data
- PORTFOLIO SELECTION AND ONLINE LEARNING
- Competitive strategy for on-line leasing of depreciable equipment
- MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY
- Capital growth with security
- 10.1162/153244303321897672
- Rough paths in idealized financial markets
- Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage
- Universal strategies for diffusion markets and possibility of asymptotic arbitrage
- Replicator dynamics: old and new
- Portfolio choice based on empirical distribution
- scientific article; zbMATH DE number 1512687 (Why is no real title available?)
- A novel online portfolio selection strategy with multiperiodical asymmetric mean reversion
- Aggregating expert advice strategy for online portfolio selection with side information
- Robust option pricing: Hannan and Blackwell meet Black and Scholes
- Efficient learning with virtual threshold gates
- Optimization methods for large-scale machine learning
- OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION
- A decision-theoretic generalization of on-line learning and an application to boosting
- Online variance minimization
- PAMR: passive aggressive mean reversion strategy for portfolio selection
- Developing new portfolio strategies by aggregation
- Regret in the on-line decision problem
- Stochastic nonstationary optimization for finding universal portfolios
- Hybrid Atlas models
- Transaction cost optimization for online portfolio selection
- Sequential optimizing strategy in multi-dimensional bounded forecasting games
- Open markets
- Adaptive game playing using multiplicative weights
- Internal regret in on-line portfolio selection
- Stochastic optimization for real time service capacity allocation under random service demand
- Efficient algorithms for online decision problems
- Forecasting electricity consumption by aggregating specialized experts
- Gated Bayesian networks for algorithmic trading
- scientific article; zbMATH DE number 718747 (Why is no real title available?)
- Universal portfolios with and without transaction costs.
- On-line portfolio selection using stochastic programming
- An algorithm for maximizing expected log investment return
- Competitive analysis for online leasing problem with compound interest rate
- A class of on-line portfolio selection algorithms based on linear learning
- Optimal portfolios with asymptotic criteria
- An asymptotic analysis of the mean-variance portfolio selection
- Weighted entropy and optimal portfolios for risk-averse Kelly investments
- scientific article; zbMATH DE number 1978894 (Why is no real title available?)
- Competitive On-line Statistics
- Universal portfolios with side information
- St. Petersburg portfolio games
- Extracting certainty from uncertainty: regret bounded by variation in costs
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