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On-Line Portfolio Selection with Moving Average Reversion
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On-Line Portfolio Selection with Moving Average Reversion (2012)On-Line Portfolio Selection with Moving A…Confidence Weighted Mean Reversion Strategy for Online Portfolio Selection (2013)Confidence Weighted Mean Reve…PAMR: Passive aggressive mean reversion strategy for portfolio selection (2012)PAMR: Passive aggressive mean…CORN (2011)CORNNonparametric nearest neighbor based empirical portfolio selection strategies (2008)Nonparametric nearest neighbo…NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES (2006)NONPARAMETRIC KERNEL‐BASED SE…Algorithms for portfolio management based on the Newton method (2006)Algorithms for portfolio mana…Can We Learn to Beat the Best Stock (2004)Can We Learn to Beat the Best…Active portfolio management : a quantitative approach for providing superior returns and controlling risk (2000)Active portfolio management :…On‐Line Portfolio Selection Using Multiplicative Updates (1998)On‐Line Portfolio Selection U…Portfolio Choice and the Kelly Criterion**This research was supported in part by the Air Force Office of Scientific Research under Grant AF-AFOSR 1870A. An expanded version of this paper will be submitted for publication elsewhere. (1975)Portfolio Choice and the Kell…Improving Generalization in Reinforcement Learning–Based Trading by Using a Generative Adversarial Market Model (2021)Improving Generalization in R…Commission Fee is not Enough: A Hierarchical Reinforced Framework for Portfolio Management (2021)Commission Fee is not Enough:…Adaptive online portfolio selection with transaction costs (2021)Adaptive online portfolio sel…Relation-Aware Transformer for Portfolio Policy Learning (2020)Relation-Aware Transformer fo…OLPS: a toolbox for on-line portfolio selection (2016)OLPS: a toolbox for on-line p…All That Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms (2016)All That Glitters Is Not Gold…Doubly Regularized Portfolio with Risk Minimization (2014)Doubly Regularized Portfolio …Weighted Moving Average Passive Aggressive Algorithm for Online Portfolio Selection (2013)Weighted Moving Average Passi…Online Lazy Updates for Portfolio Selection with Transaction Costs (2013)Online Lazy Updates for Portf…Online Portfolio Selection: A Survey (2012)Online Portfolio Selection: A…A Game of Prediction with Expert Advice (1998)“Options, Futures, and Other Derivatives” (2016)A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem (2017)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Evolutionary stability of portfolio rules in incomplete markets (2004)Theory of rational option pricing (2005)Evolutionary Stable Stock Markets (2006)Robust Median Reversion Strategy for Online Portfolio Selection (2016)Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment (1988)Prediction, Learning, and Games (2006)Transaction cost optimization for online portfolio selection (2017)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Moving average reversion strategy for on-line portfolio selection (2015)Efficient algorithms for online decision problems (2004)Portfolio Selection (1952)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Online portfolio selection (2014)Criteria for Choice Among Risky Ventures (1959)Universal Portfolios (1991)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Does the Stock Market Overreact? (1985)Application of Deep Q-Network in Portfolio Management (2020)Cost-Sensitive Portfolio Selection via Deep Reinforcement Learning (2020)Intraday Patterns in the Cross‐section of Stock Returns (2010)
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References

  • 1998On‐Line Portfolio Selection Using Multiplicative Updates387 cited
  • 2004Can We Learn to Beat the Best Stock246 cited
  • 2006Algorithms for portfolio management based on the Newton method239 cited
  • 2012PAMR: Passive aggressive mean reversion strategy for portfolio selection235 cited
  • 2000Active portfolio management : a quantitative approach for providing superior returns and controlling risk223 cited
  • 2011CORN156 cited
  • 2006NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES150 cited
  • 1975Portfolio Choice and the Kelly Criterion**This research was supported in part by the Air Force Office of Scientific Research under Grant AF-AFOSR 1870A. An expanded version of this paper will be submitted for publication elsewhere.144 cited
  • 2013Confidence Weighted Mean Reversion Strategy for Online Portfolio Selection133 cited
  • 2008Nonparametric nearest neighbor based empirical portfolio selection strategies100 cited

Cited by

  • 2012Online Portfolio Selection: A Survey68 cited
  • 2020Relation-Aware Transformer for Portfolio Policy Learning61 cited
  • 2021Adaptive online portfolio selection with transaction costs60 cited
  • 2013Online Lazy Updates for Portfolio Selection with Transaction Costs53 cited

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  • 2014Doubly Regularized Portfolio with Risk Minimization47 cited
  • 2013Weighted Moving Average Passive Aggressive Algorithm for Online Portfolio Selection45 cited
  • 2016OLPS: a toolbox for on-line portfolio selection45 cited
  • 2021Commission Fee is not Enough: A Hierarchical Reinforced Framework for Portfolio Management43 cited
  • 2021Improving Generalization in Reinforcement Learning–Based Trading by Using a Generative Adversarial Market Model42 cited
  • 2016All That Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms35 cited