NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES

DOI10.1111/J.1467-9965.2006.00274.XzbMATH Open1145.91348OpenAlexW2158076035MaRDI QIDQ5488978FDOQ5488978

Authors: László Györfi, Frederic Udina, Gábor Lugosi 

Publication date: 25 September 2006

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00274.x

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zbMATH Keywords

kernel estimationsequential investmentuniversal portfolios

Mathematics Subject Classification ID

Sequential statistical methods (62L99)

Cites Work

• A distribution-free theory of nonparametric regression
• A bound on the financial value of information
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• Efficient Universal Portfolios for Past‐Dependent Target Classes
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• On‐Line Portfolio Selection Using Multiplicative Updates
• A simple randomized algorithm for sequential prediction of ergodic time series
• Universal portfolios with and without transaction costs.
• The strong law of large numbers for sequential decisions under uncertainty
• Iterative nonparametric estimation of a log-optimal portfolio selection function
• Internal regret in on-line portfolio selection.

Cited In (23)

• Weakly universally consistent static forecasting of stationary and ergodic time series via local averaging and least squares estimates
• Online portfolio selection with state-dependent price estimators and transaction costs
• KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES
• PAMR: passive aggressive mean reversion strategy for portfolio selection
• A tree-weighting approach to sequential decision problems with multiplicative loss
• Title not available (Why is that?)
• Generalization bounds for regularized portfolio selection with market side information
• A kernel-based trend pattern tracking system for portfolio optimization
• Adaptive online portfolio selection with transaction costs
• Shrinkage for covariance estimation: asymptotics, confidence intervals, bounds and applications in sensor monitoring and finance
• Nonparametric volatility prediction
• Transaction cost optimization for online portfolio selection
• Kernel-based aggregating learning system for online portfolio optimization
• Recursive forecast combination for dependent heterogeneous data
• What is the value of the cross-sectional approach to deep reinforcement learning?
• Nonparametric sequential prediction of time series
• On data-based optimal stopping under stationarity and ergodicity
• Nonparametric nearest neighbor based empirical portfolio selection strategies
• Algorithmic trading for online portfolio selection under limited market liquidity
• Growth Optimal Investment with Transaction Costs
• Online portfolio selection with long-short term forecasting
• Online portfolio selection
• Performance analysis of log-optimal portfolio strategies with transaction costs

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