On-Line Portfolio Selection Using Multiplicative Updates
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- 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.
- Ting-Kam Leonard Wong, 2015. "Universal portfolios in stochastic portfolio theory," Papers 1510.02808, arXiv.org, revised Dec 2016.
- Guy Uziel & Ran El-Yaniv, 2017. "Growth-Optimal Portfolio Selection under CVaR Constraints," Papers 1705.09800, arXiv.org.
- Panpan Ren & Jiang-Lun Wu, 2017. "Foreign exchange market modelling and an on-line portfolio selection algorithm," Papers 1707.00203, arXiv.org.
- Vajda, István & Ottucsák, György, 2006.
[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.
- Ottucsák György & Vajda István, 2007. "An asymptotic analysis of the mean-variance portfolio selection," Statistics & Risk Modeling, De Gruyter, pages 1-24.
- Theodoros Tsagaris & Ajay Jasra & Niall Adams, 2010. "Robust and Adaptive Algorithms for Online Portfolio Selection," Papers 1005.2979, arXiv.org.
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- Freund, Yoav & Schapire, Robert E., 1999. "Adaptive Game Playing Using Multiplicative Weights," Games and Economic Behavior, Elsevier, vol. 29(1-2), pages 79-103, October.
- Bin Li & Steven C. H. Hoi, 2012. "On-Line Portfolio Selection with Moving Average Reversion," Papers 1206.4626, arXiv.org.
- Parkes, David C. & Huberman, Bernardo A., 2001. "Multiagent Cooperative Search for Portfolio Selection," Games and Economic Behavior, Elsevier, vol. 35(1-2), pages 124-165, April.
- Bin Li & Steven C. H. Hoi, 2012. "Online Portfolio Selection: A Survey," Papers 1212.2129, arXiv.org, revised May 2013.
- A. Borodin & R. El-Yaniv & V. Gogan, 2011. "Can We Learn to Beat the Best Stock," Papers 1107.0036, arXiv.org.
- Xiaoguang Huo & Feng Fu, 2017. "Risk-Aware Multi-Armed Bandit Problem with Application to Portfolio Selection," Papers 1709.04415, arXiv.org.
- MacLean, Leonard C. & Zhao, Yonggan & Ziemba, William T., 2016. "Optimal capital growth with convex shortfall penalties," LSE Research Online Documents on Economics 65486, London School of Economics and Political Science, LSE Library.
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