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

DOI10.1080/03610918.2019.1699112OpenAlexW2997736204WikidataQ126529179 ScholiaQ126529179MaRDI QIDQ5083004FDOQ5083004

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

• Logarithmic regret algorithms for online convex optimization
• Online convex optimization in the bandit setting: gradient descent without a gradient
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• Universal Portfolios
• Universal portfolios with side information
• Response Surfaces, Mixtures, and Ridge Analyses
• On‐Line Portfolio Selection Using Multiplicative Updates
• Empirical Bayes stock market portfolios
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Cited In (1)

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