Nonparametric nearest neighbor based empirical portfolio selection strategies
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DOI: 10.1524/stnd.2008.0917
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References listed on IDEAS
- László Györfi & Gábor Lugosi & Frederic Udina, 2006. "Nonparametric Kernel‐Based Sequential Investment Strategies," Mathematical Finance, Wiley Blackwell, vol. 16(2), pages 337-357, April.
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Cited by:
- Fayyaaz Loonat & Tim Gebbie, 2018. "Learning zero-cost portfolio selection with pattern matching," PLOS ONE, Public Library of Science, vol. 13(9), pages 1-38, September.
- Guo, Sini & Gu, Jia-Wen & Fok, Christopher H. & Ching, Wai-Ki, 2023. "Online portfolio selection with state-dependent price estimators and transaction costs," European Journal of Operational Research, Elsevier, vol. 311(1), pages 333-353.
- Victor DeMiguel & Francisco J. Nogales & Raman Uppal, 2014.
"Stock Return Serial Dependence and Out-of-Sample Portfolio Performance,"
The Review of Financial Studies, Society for Financial Studies, vol. 27(4), pages 1031-1073.
- Uppal, Raman & DeMiguel, Victor & Nogales, Francisco J., 2013. "Stock Return Serial Dependence and Out-of-Sample Portfolio Performance," CEPR Discussion Papers 9456, C.E.P.R. Discussion Papers.
- Guy Uziel & Ran El-Yaniv, 2017. "Growth-Optimal Portfolio Selection under CVaR Constraints," Papers 1705.09800, arXiv.org.
- Tim Gebbie & Fayyaaz Loonat, 2016. "Learning zero-cost portfolio selection with pattern matching," Papers 1605.04600, arXiv.org.
- Yang Wang & Dong Wang & Yaodong Wang & You Zhang, 2018. "RACORN-K: Risk-Aversion Pattern Matching-based Portfolio Selection," Papers 1802.10244, arXiv.org.
- Vajda, István & Ottucsák, György, 2006. "Empirikus portfólióstratégiák [Empirical portfolio strategies]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 624-640.
- Bin Li & Steven C. H. Hoi, 2012. "Online Portfolio Selection: A Survey," Papers 1212.2129, arXiv.org, revised May 2013.
- Man Yiu Tsang & Tony Sit & Hoi Ying Wong, 2022. "Adaptive Robust Online Portfolio Selection," Papers 2206.01064, arXiv.org.
- Mih�ly Ormos & Andr�s Urb�n, 2013. "Performance analysis of log-optimal portfolio strategies with transaction costs," Quantitative Finance, Taylor & Francis Journals, vol. 13(10), pages 1587-1597, October.
- Ha, Youngmin & Zhang, Hai, 2020. "Algorithmic trading for online portfolio selection under limited market liquidity," European Journal of Operational Research, Elsevier, vol. 286(3), pages 1033-1051.
- Guo, Sini & Gu, Jia-Wen & Ching, Wai-Ki, 2021. "Adaptive online portfolio selection with transaction costs," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1074-1086.
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