Aggregating expert advice strategy for online portfolio selection with side information

DOI10.1007/S00500-019-04039-7MaRDI QIDQ780324zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

side informationuniversal portfolioexpert adviceonline portfolio selectionweak aggregating algorithm

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

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• PORTFOLIO SELECTION AND ONLINE LEARNING
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Cites work

• scientific article; zbMATH DE number 2243362 (Why is no real title available?)
• A class of on-line portfolio selection algorithms based on linear learning
• A computational intelligence method for solving a class of portfolio optimization problems
• A fuzzy portfolio selection method based on possibilistic mean and variance
• AN ONLINE PORTFOLIO SELECTION ALGORITHM WITH REGRET LOGARITHMIC IN PRICE VARIATION
• Better than dynamic mean-variance: time inconsistency and free cash flow stream
• Constant rebalanced portfolios and side-information
• Growth Optimal Investment with Transaction Costs
• Naive versus optimal diversification: tail risk and performance
• On-line portfolio selection strategy with prediction in the presence of transaction costs
• On‐Line Portfolio Selection Using Multiplicative Updates
• PAMR: passive aggressive mean reversion strategy for portfolio selection
• Stochastic nonstationary optimization for finding universal portfolios
• The weak aggregating algorithm and weak mixability
• Transaction cost optimization for online portfolio selection
• Universal Portfolios
• Universal portfolios with and without transaction costs.
• Universal portfolios with side information
• Weak aggregating algorithm for the distribution-free perishable inventory problem

Cited in

(2)

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

Describes a project that uses

Uses Software

• PAMR

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