Aggregating expert advice strategy for online portfolio selection with side information

DOI10.1007/S00500-019-04039-7zbMATH Open1436.91105OpenAlexW2946136962WikidataQ127844795 ScholiaQ127844795MaRDI QIDQ780324FDOQ780324

Authors: Xingyu Yang, Jin'An He, Jiayi Xian, Hong Lin, Yong Zhang 

Publication date: 15 July 2020

Published in: Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00500-019-04039-7

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zbMATH Keywords

side informationuniversal portfolioexpert adviceonline portfolio selectionweak aggregating algorithm

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Universal Portfolios
• Universal portfolios with side information
• Better than dynamic mean-variance: time inconsistency and free cash flow stream
• Weak aggregating algorithm for the distribution-free perishable inventory problem
• The weak aggregating algorithm and weak mixability
• A fuzzy portfolio selection method based on possibilistic mean and variance
• A class of on-line portfolio selection algorithms based on linear learning
• On‐Line Portfolio Selection Using Multiplicative Updates
• Stochastic nonstationary optimization for finding universal portfolios
• Universal portfolios with and without transaction costs.
• Growth Optimal Investment with Transaction Costs
• PAMR: passive aggressive mean reversion strategy for portfolio selection
• Title not available (Why is that?)
• On-line portfolio selection strategy with prediction in the presence of transaction costs
• Naive versus optimal diversification: tail risk and performance
• Constant rebalanced portfolios and side-information
• Transaction cost optimization for online portfolio selection
• AN ONLINE PORTFOLIO SELECTION ALGORITHM WITH REGRET LOGARITHMIC IN PRICE VARIATION
• A computational intelligence method for solving a class of portfolio optimization problems

Cited In (2)

• Adaptive online portfolio strategy based on exponential gradient updates
• Universal portfolio selection strategy by aggregating online expert advice

Uses Software

• PAMR

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