Portfolio selection algorithm under financial crisis: a case study with Bursa Malaysia

DOI10.1080/03610918.2019.1699112MaRDI QIDQ5083004zbMATH OpenOpenAlexWikidataFDO

Authors Miang Hong Ngerng, Sherilynn S. F. Ngerng

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1699112

zbMATH Keywords

regret minimizationonline portfolio selectiononline convex optimizationtrading algorithm

Mathematics Subject Classification ID

Cites work

• scientific article; zbMATH DE number 2243362 (Why is no real title available?)
• Empirical Bayes stock market portfolios
• Logarithmic regret algorithms for online convex optimization
• Online convex optimization in the bandit setting: gradient descent without a gradient
• On‐Line Portfolio Selection Using Multiplicative Updates
• Response Surfaces, Mixtures, and Ridge Analyses
• Toeplitz and circulant matrices: a review.
• Universal Portfolios
• Universal portfolios with side information

Cited in

(1)

• scientific article; zbMATH DE number 7617985 (Why is no real title available?)

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