Adaptive online portfolio strategies design and analysis in nonstationary market

DOI10.15960/J.CNKI.ISSN.1007-6093.2018.03.009MaRDI QIDQ5197281zbMATH OpenFDO

Authors Xingyu Yang, Jin'An He, Mingcong Lai

Publication date 20 September 2019

Full work available at URL https://doi.org/10.15960/J.CNKI.ISSN.1007-6093.2018.03.009

zbMATH Keywords

adaptivitynonstationary marketonline portfoliosensitivity analysis

Mathematics Subject Classification ID

Portfolio theory (91G10)

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(2)

• Adaptive online portfolio strategy based on exponential gradient updates
• Online portfolio selection based on quadratic smooth-gray prediction

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