Universal Portfolios - MaRDI portal

Cites Work

Title not available (Why is that?)
An analog of the minimax theorem for vector payoffs
A bound on the financial value of information
Empirical Bayes stock market portfolios
Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
An algorithm for maximizing expected log investment return
Optimal strategies for repeated games
A convergent gambling estimate of the entropy of English

Cited In (only showing first 100 items - show all)

Distributed mean reversion online portfolio strategy with stock network
Online portfolio selection with state-dependent price estimators and transaction costs
Title not available (Why is that?)
Functional Portfolio Optimization in Stochastic Portfolio Theory
Robust asymptotic growth in stochastic portfolio theory under long‐only constraints
A computational definition of financial randomness
Title not available (Why is that?)
Model‐free portfolio theory: A rough path approach
Meta Algorithms for Portfolio Optimization Using Reinforcement Learning
Bayesian Logistic Betting Strategy Against Probability Forecasting
Optimal online algorithms for the portfolio selection problem, bi-directional trading and -search with interrelated prices
Title not available (Why is that?)
The TEAM Approach to Investing
Relation between the rate of convergence of strong law of large numbers and the rate of concentration of Bayesian prior in game-theoretic probability
Risk management strategies for finding universal portfolios
Adaptive online portfolio strategy based on exponential gradient updates
Simulated annealing algorithm for optimal capital growth
Small-Loss Bounds for Online Learning with Partial Information
An Additive On-Line Portfolio Selection Algorithm
A kernel-based trend pattern tracking system for portfolio optimization
Adaptive online portfolio selection with transaction costs
Adaptive moment estimation for universal portfolio selection strategy
Linear programming with online learning
Random concave functions
Universal portfolio selection strategy by aggregating online expert advice
Mean-variance efficiency of optimal power and logarithmic utility portfolios
An improvement on El-Yaniv-Fiat-Karp-Turpin's money-making bi-directional trading strategy
Dynamic optimal capital growth of diversified investment
Shrinkage for covariance estimation: asymptotics, confidence intervals, bounds and applications in sensor monitoring and finance
On Optimal Retirement
Minimax rates for conditional density estimation via empirical entropy
Title not available (Why is that?)
Title not available (Why is that?)
Multiagent cooperative search for portfolio selection
A càdlàg rough path foundation for robust finance
Principal component analysis and optimal portfolio
Risk-adjusted exponential gradient strategies for online portfolio selection
Internal regret in on-line portfolio selection
Kernel-based aggregating learning system for online portfolio optimization
Quantifying dimensional change in stochastic portfolio theory
High-risk and competitive investment models
Online Portfolio Optimization with Risk Control
What is the value of the cross-sectional approach to deep reinforcement learning?
Rational pricing of leveraged ETF expense ratios
Competitive Portfolio Selection Using Stochastic Predictions
Binary switch portfolio
Portfolio selection algorithm under financial crisis: a case study with Bursa Malaysia
Competitive difference analysis of the cash management problem with uncertain demands
Title not available (Why is that?)
Automated trading with boosting and expert weighting
Generalized self-concordant analysis of Frank-Wolfe algorithms
GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS
Algorithmic trading for online portfolio selection under limited market liquidity
A Krasnoselskii-Mann proximity algorithm for Markowitz portfolios with adaptive expected return level
Online portfolio selection with long-short term forecasting
Optimal capital growth with convex shortfall penalties
A strategy-proof test of portfolio returns
No-regret algorithms in on-line learning, games and convex optimization
Adaptive strategies in Kelly’s horse races model
Universal portfolios generated by Toeplitz matrices
Capital growth with security
Developing new portfolio strategies by aggregation
On-line portfolio selection using stochastic programming
A Variational Formula for Risk-Sensitive Reward
Some Aspects of Information Theory in Gambling and Economics
RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA
Stochastic nonstationary optimization for finding universal portfolios
Volatility-induced financial growth
Forecasting electricity consumption by aggregating specialized experts
Extracting certainty from uncertainty: regret bounded by variation in costs
Replicator dynamics: old and new
OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION
Title not available (Why is that?)
Title not available (Why is that?)
Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage
KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES
Online variance minimization
PAMR: passive aggressive mean reversion strategy for portfolio selection
Title not available (Why is that?)
Universal schemes for prediction, gambling and portfolio selection
Beating the market? A mathematical puzzle for market efficiency
Robust option pricing: Hannan and Blackwell meet Black and Scholes
Universal portfolios with side information
Logarithmic regret algorithms for online convex optimization
Relative utility bounds for empirically optimal portfolios
Constant rebalanced portfolios and side-information
Learning in network contexts: experimental results from simulations
On asymptotic log-optimal portfolio optimization
Compound decision theory and empirical Bayes methods
Competitive analysis for online leasing problem with compound interest rate
Title not available (Why is that?)
A lower bound on compression of unknown alphabets
Internal regret in on-line portfolio selection
Title not available (Why is that?)
Transaction cost optimization for online portfolio selection
Hybrid Atlas models
Regret to the best vs. regret to the average
Delayed information and action in on-line algorithms
Open markets
Sequential optimizing strategy in multi-dimensional bounded forecasting games

   Recommendations

ASYMPTOTICALLY OPTIMAL PORTFOLIOS 👍 👎
PORTFOLIO SELECTION AND ONLINE LEARNING 👍 👎
Efficient Universal Portfolios for Past‐Dependent Target Classes 👍 👎
Title not available (Why is that?) 👍 👎
Universal portfolios with side information 👍 👎

This page was built for publication: Universal Portfolios

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4345877)