Switching Strategies for Sequential Decision Problems With Multiplicative Loss With Application to Portfolios

DOI10.1109/TSP.2009.2013906MaRDI QIDQ4569699zbMATH OpenOpenAlexFDO

Authors Suleyman S. Kozat, Andrew C. Singer

Publication date 9 July 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tsp.2009.2013906

Mathematics Subject Classification ID

Decision theory (91B06) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Portfolio theory (91G10)

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Cited in

(3)

• A tree-weighting approach to sequential decision problems with multiplicative loss
• Universal portfolio selection strategy by aggregating online expert advice
• Online portfolio selection: a survey

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