Kernel-based aggregating learning system for online portfolio optimization

DOI10.1155/2020/6595329zbMATH Open1544.91298MaRDI QIDQ6534839FDOQ6534839

Tao Sun, Xin Wang, Zhi Liu

Publication date: 18 May 2021

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Mathematics Subject Classification ID

Portfolio theory (91G10) Iterative learning control (93B47)

Cites Work

• Logarithmic regret algorithms for online convex optimization
• Online Learning and Online Convex Optimization
• Universal Portfolios
• NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES
• Nonparametric nearest neighbor based empirical portfolio selection strategies
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• Online portfolio selection
• Pseudo-mathematics and financial charlatanism: the effects of backtest overfitting on out-of-sample performance
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• A Robust Statistics Approach to Minimum Variance Portfolio Optimization

Cited In (1)

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