Robust and adaptive algorithms for online portfolio selection
From MaRDI portal
Publication:5745634
DOI10.1080/14697688.2012.691175zbMath1279.91188arXiv1005.2979OpenAlexW2045967071MaRDI QIDQ5745634
Ajay Jasra, Theodoros Tsagaris, Niall M. Adams
Publication date: 30 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1005.2979
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
Related Items (2)
Transaction cost optimization for online portfolio selection ⋮ Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
Cites Work
- A well-conditioned estimator for large-dimensional covariance matrices
- Zhang neural network for online solution of time-varying convex quadratic program subject to time-varying linear-equality constraints
- Robust portfolios: contributions from operations research and finance
- The truncated SVD as a method for regularization
- Robust recursive estimation in the presence of heavy-tailed observation noise
- Pathwise coordinate optimization
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Portfolio Selection with Robust Estimation
- A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
- Dynamic mean-variance portfolio analysis under model risk
- Approximate non-Gaussian filtering with linear state and observation relations
- On the Early History of the Singular Value Decomposition
- Computation of the condition number of a nonsingular symmetric toeplitz matrix with the Levinson-durbin algorithm
- On‐Line Portfolio Selection Using Multiplicative Updates
- Updating the singular value decomposition
- Unnamed Item
This page was built for publication: Robust and adaptive algorithms for online portfolio selection
