Online Portfolio Optimization with Risk Control

DOI10.5540/TCAM.2021.022.03.00475MaRDI QIDQ6084585zbMATH OpenFDO

Authors Carlos C. H. Borges

Publication date 2 December 2023

Published in Trends in Computational and Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

portfolio optimizationonline gradient descenttime varying CAPM

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites work

• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• Coherent measures of risk
• Competitive Optimality of Logarithmic Investment
• Game-Theoretic Optimal Portfolios
• Online algorithms for the portfolio selection problem. With a foreword by Günter Schmidt
• Online portfolio selection: a survey
• On‐Line Portfolio Selection Using Multiplicative Updates
• Statistical analysis of financial data in R
• Stochastic nonstationary optimization for finding universal portfolios
• Time series analysis by state space methods.
• Transaction cost optimization for online portfolio selection
• Universal Portfolios
• Universal portfolios with side information

This page was built for publication: Online Portfolio Optimization with Risk Control

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6084585)