On-Line Portfolio Selection with Moving Average Reversion
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References listed on IDEAS
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- David P. Helmbold & Robert E. Schapire & Yoram Singer & Manfred K. Warmuth, 1998. "On-Line Portfolio Selection Using Multiplicative Updates," Mathematical Finance, Wiley Blackwell, vol. 8(4), pages 325-347.
- László Györfi & Gábor Lugosi & Frederic Udina, 2006. "Nonparametric Kernel-Based Sequential Investment Strategies," Mathematical Finance, Wiley Blackwell, vol. 16(2), pages 337-357.
- Gaivoronski, A & Stella, F, 2000. "Nonstationary Optimization Approach for Finding Universal Portfolios," MPRA Paper 21913, University Library of Munich, Germany.
- Thomas M. Cover, 1991. "Universal Portfolios," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 1-29.
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- Boby Chaitanya Villari & Mohammed Shahid Abdulla, 2017. "Portfolio choice decision making with NBP-effSAMWMIX: A Stochastic Multi-Armed Bandit Algorithm using Naïve Bandit Portfolio Approach," Working papers 219, Indian Institute of Management Kozhikode.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-01 (All new papers)
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