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Nonparametric Kernel-Based Sequential Investment Strategies

Author

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  • László Györfi
  • Gábor Lugosi
  • Frederic Udina

Abstract

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  • László Györfi & Gábor Lugosi & Frederic Udina, 2006. "Nonparametric Kernel-Based Sequential Investment Strategies," Mathematical Finance, Wiley Blackwell, vol. 16(2), pages 337-357.
  • Handle: RePEc:bla:mathfi:v:16:y:2006:i:2:p:337-357
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9965.2006.00274.x
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    Citations

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    Cited by:

    1. Bin Li & Dingjiang Huang & Steven C. H. Hoi, 2013. "CORN: Correlation-Driven Nonparametric Learning Approach for Portfolio Selection -- an Online Appendix," Papers 1306.1378, arXiv.org.
    2. Roch, Oriol, 2013. "Histogram-based prediction of directional price relatives," Finance Research Letters, Elsevier, vol. 10(3), pages 110-115.
    3. Bin Li & Steven C. H. Hoi, 2012. "On-Line Portfolio Selection with Moving Average Reversion," Papers 1206.4626, arXiv.org.
    4. Zhengyao Jiang & Dixing Xu & Jinjun Liang, 2017. "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem," Papers 1706.10059, arXiv.org, revised Jul 2017.
    5. Ting-Kam Leonard Wong, 2015. "Universal portfolios in stochastic portfolio theory," Papers 1510.02808, arXiv.org, revised Dec 2016.
    6. Guy Uziel & Ran El-Yaniv, 2017. "Growth-Optimal Portfolio Selection under CVaR Constraints," Papers 1705.09800, arXiv.org.
    7. Sancetta, A., 2007. "Online Forecast Combination for Dependent Heterogeneous Data," Cambridge Working Papers in Economics 0718, Faculty of Economics, University of Cambridge.
    8. Yang Wang & Dong Wang & Yaodong Wang & You Zhang, 2018. "RACORN-K: Risk-Aversion Pattern Matching-based Portfolio Selection," Papers 1802.10244, arXiv.org.
    9. 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.
    10. Bin Li & Steven C. H. Hoi, 2012. "Online Portfolio Selection: A Survey," Papers 1212.2129, arXiv.org, revised May 2013.
    11. Ottucsák György & Vajda István, 2007. "An asymptotic analysis of the mean-variance portfolio selection," Statistics & Risk Modeling, De Gruyter, vol. 25(1/2007), pages 1-24, January.
    12. Ormos, Mihály & Urbán, András & Zoltán, Tamás, 2009. "Logoptimális portfóliók empirikus vizsgálata
      [Empirical analysis of log-optimal portfolios]
      ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(1), pages 1-18.
    13. Györfi László & Udina Frederic & Walk Harro, 2008. "Nonparametric nearest neighbor based empirical portfolio selection strategies," Statistics & Risk Modeling, De Gruyter, vol. 26(2), pages 145-157, March.
    14. Vladimir V'yugin, 2014. "Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem," Papers 1410.5996, arXiv.org, revised Jun 2015.

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