NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES
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Cites work
- scientific article; zbMATH DE number 3179081 (Why is no real title available?)
- scientific article; zbMATH DE number 1512687 (Why is no real title available?)
- A bound on the financial value of information
- A distribution-free theory of nonparametric regression
- A simple randomized algorithm for sequential prediction of ergodic time series
- Efficient Universal Portfolios for Past‐Dependent Target Classes
- Internal regret in on-line portfolio selection.
- Iterative nonparametric estimation of a log-optimal portfolio selection function
- On‐Line Portfolio Selection Using Multiplicative Updates
- The strong law of large numbers for sequential decisions under uncertainty
- Universal portfolios with and without transaction costs.
- Universal portfolios with side information
Cited in
(23)- Nonparametric sequential prediction of time series
- Recursive forecast combination for dependent heterogeneous data
- Short-term sparse portfolio optimization based on alternating direction method of multipliers
- Weakly universally consistent static forecasting of stationary and ergodic time series via local averaging and least squares estimates
- A tree-weighting approach to sequential decision problems with multiplicative loss
- Nonparametric volatility prediction
- Generalization bounds for regularized portfolio selection with market side information
- PAMR: passive aggressive mean reversion strategy for portfolio selection
- Transaction cost optimization for online portfolio selection
- Online portfolio selection with long-short term forecasting
- On data-based optimal stopping under stationarity and ergodicity
- Nonparametric nearest neighbor based empirical portfolio selection strategies
- A kernel-based trend pattern tracking system for portfolio optimization
- Online portfolio selection with state-dependent price estimators and transaction costs
- Shrinkage for covariance estimation: asymptotics, confidence intervals, bounds and applications in sensor monitoring and finance
- What is the value of the cross-sectional approach to deep reinforcement learning?
- Algorithmic trading for online portfolio selection under limited market liquidity
- Kernel-based aggregating learning system for online portfolio optimization
- Adaptive online portfolio selection with transaction costs
- KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES
- Performance analysis of log-optimal portfolio strategies with transaction costs
- Online portfolio selection: a survey
- Growth Optimal Investment with Transaction Costs
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