Universal Portfolios
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Cites work
- A bound on the financial value of information
- A convergent gambling estimate of the entropy of English
- An algorithm for maximizing expected log investment return
- An analog of the minimax theorem for vector payoffs
- Empirical Bayes stock market portfolios
- Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
- scientific article; zbMATH DE number 3342731 (Why is no real title available?)
- Optimal strategies for repeated games
Cited in
(only showing first 100 items - show all)- Logarithmic regret algorithms for online convex optimization
- Regret to the best vs. regret to the average
- Measuring the efficiency of the intraday Forex market with a universal data compression algorithm
- Empirical Bayes stock market portfolios
- An improvement on El-Yaniv-Fiat-Karp-Turpin's money-making bi-directional trading strategy
- Universal schemes for prediction, gambling and portfolio selection
- Optimal portfolios with asymptotic criteria
- A decision-theoretic generalization of on-line learning and an application to boosting
- Efficient learning with virtual threshold gates
- Predicting a binary sequence almost as well as the optimal biased coin
- A bounded risk strategy for a market with non-observable parameters.
- Compound decision theory and empirical Bayes methods
- Minmax regret solutions for minimax optimization problems with uncertainty
- Weighted entropy and optimal portfolios for risk-averse Kelly investments
- Risk management strategies for finding universal portfolios
- Relation between the rate of convergence of strong law of large numbers and the rate of concentration of Bayesian prior in game-theoretic probability
- Shrinkage for covariance estimation: asymptotics, confidence intervals, bounds and applications in sensor monitoring and finance
- A lower bound on compression of unknown alphabets
- Simulated annealing algorithm for optimal capital growth
- Regret in the on-line decision problem
- Adaptive game playing using multiplicative weights
- Delayed information and action in on-line algorithms
- High-risk and competitive investment models
- Stochastic optimization for real time service capacity allocation under random service demand
- Forecasting electricity consumption by aggregating specialized experts
- Extracting certainty from uncertainty: regret bounded by variation in costs
- Universal portfolios with and without transaction costs.
- Mean-variance efficiency of optimal power and logarithmic utility portfolios
- Relative utility bounds for empirically optimal portfolios
- Online portfolio selection with long-short term forecasting
- Adaptive online portfolio strategy based on exponential gradient updates
- Random concave functions
- Universal portfolio selection strategy by aggregating online expert advice
- Beating the market? A mathematical puzzle for market efficiency
- Algorithmic trading for online portfolio selection under limited market liquidity
- Adaptive online portfolio selection with transaction costs
- A kernel-based trend pattern tracking system for portfolio optimization
- Competitive difference analysis of the cash management problem with uncertain demands
- Linear programming with online learning
- Efficient algorithms for online decision problems
- Some limit theorems for the log-optimal portfolio
- Rational pricing of leveraged ETF expense ratios
- Generalized self-concordant analysis of Frank-Wolfe algorithms
- The cost of achieving the best portfolio in hindsight
- The TEAM Approach to Investing
- Robust option pricing: Hannan and Blackwell meet Black and Scholes
- Competitive portfolio selection using stochastic predictions
- A strategy-proof test of portfolio returns
- Empirical log-optimal portfolio selections: a survey
- Some Aspects of Information Theory in Gambling and Economics
- Universal semiconstant rebalanced portfolios
- An algorithm for maximizing expected log investment return
- A CONTINUOUS TIME APPROXIMATION OF AN EVOLUTIONARY STOCK MARKET MODEL
- PORTFOLIO SELECTION AND ONLINE LEARNING
- Recursive forecast combination for dependent heterogeneous data
- Automated trading with boosting and expert weighting
- Volatility-induced financial growth
- Constant rebalanced portfolios and side-information
- On selection of efficient portfolios for maximum long-run rate of growth
- St. Petersburg portfolio games
- scientific article; zbMATH DE number 3989075 (Why is no real title available?)
- A class of on-line portfolio selection algorithms based on linear learning
- Online variance minimization
- PAMR: passive aggressive mean reversion strategy for portfolio selection
- scientific article; zbMATH DE number 513099 (Why is no real title available?)
- scientific article; zbMATH DE number 718747 (Why is no real title available?)
- ASYMPTOTICALLY OPTIMAL PORTFOLIOS
- The return on investment from proportional portfolio strategies
- Efficient Universal Portfolios for Past‐Dependent Target Classes
- MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY
- scientific article; zbMATH DE number 1978894 (Why is no real title available?)
- An Additive On-Line Portfolio Selection Algorithm
- scientific article; zbMATH DE number 1512687 (Why is no real title available?)
- Transaction cost optimization for online portfolio selection
- Binary switch portfolio
- Short-term sparse portfolio optimization based on alternating direction method of multipliers
- Optimization methods for large-scale machine learning
- GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS
- scientific article; zbMATH DE number 2140968 (Why is no real title available?)
- Portfolio choice based on empirical distribution
- On‐Line Portfolio Selection Using Multiplicative Updates
- 10.1162/153244303321897672
- Competitive On-line Statistics
- Universal portfolios with side information
- Bayesian logistic betting strategy against probability forecasting
- Loss control with rank-one covariance estimate for short-term portfolio optimization
- Optimal capital growth with convex shortfall penalties
- A uniformly distributed random portfolio
- Out-of-sample utility bounds for empirically optimal portfolios in a single-period investment problem
- Adaptive strategies in Kelly’s horse races model
- scientific article; zbMATH DE number 7617985 (Why is no real title available?)
- Applications of combined financial strategies based on universal adaptive forecasting
- Meta algorithms for portfolio optimization using reinforcement learning
- scientific article; zbMATH DE number 7625184 (Why is no real title available?)
- What is the value of the cross-sectional approach to deep reinforcement learning?
- Functional portfolio optimization in stochastic portfolio theory
- Portfolio selection algorithm under financial crisis: a case study with Bursa Malaysia
- Dynamic optimal capital growth of diversified investment
- On optimal retirement
- Online portfolio selection: a survey
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