scientific article; zbMATH DE number 1512687

MaRDI QIDQ4508375zbMATH OpenFDO

Authors Allan Borodin, Vincent Gogan, Ran El-Yaniv

Publication date 3 October 2000

zbMATH Keywords

portfolio selectionswitching sequencesbuy and hold algorithmconstant-rebalance algorithmonline portfolio selection algorithms

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• PORTFOLIO SELECTION AND ONLINE LEARNING
• Optimal online algorithms for the portfolio selection problem, bi-directional trading and -search with interrelated prices
• On‐Line Portfolio Selection Using Multiplicative Updates
• Universal Portfolios

Cited in

(14)

• On-line portfolio selection using stochastic programming
• Forecasting electricity consumption by aggregating specialized experts
• Optimal buy-and-hold strategies for financial markets with bounded daily returns
• PAMR: passive aggressive mean reversion strategy for portfolio selection
• Optimal online algorithms for the portfolio selection problem, bi-directional trading and -search with interrelated prices
• Risk management strategies for finding universal portfolios
• Online portfolio selection: a survey
• Internal regret in on-line portfolio selection
• Competitive portfolio selection using stochastic predictions
• Internal regret in on-line portfolio selection
• NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES
• Algorithmic trading for online portfolio selection under limited market liquidity
• Online algorithms for the portfolio selection problem. With a foreword by Günter Schmidt
• A class of on-line portfolio selection algorithms based on linear learning

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