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On Stochastic and Worst-case Models for Investing
16 references·2 citing·40 second hop
On Stochastic and Worst-case Models for Investing (2009)On Stochastic and Worst-case Models for I…Extracting certainty from uncertainty: regret bounded by variation in costs (2010)Extracting certainty from unc…Better algorithms for benign bandits (2009)Better algorithms for benign …Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Online trading algorithms and robust option pricing (2006)Online trading algorithms and…Logarithmic Regret Algorithms for Online Convex Optimization (2006)Logarithmic Regret Algorithms…Improved second-order bounds for prediction with expert advice (2006)Improved second-order bounds …Algorithms for portfolio management based on the Newton method (2006)Algorithms for portfolio mana…Efficient algorithms for online decision problems (2004)Efficient algorithms for onli…Online convex programming and generalized infinitesimal gradient ascent (2003)Online convex programming and…Efficient algorithms for universal portfolios (2002)Efficient algorithms for univ…On‐Line Portfolio Selection Using Multiplicative Updates (1998)On‐Line Portfolio Selection U…Universal portfolios with and without transaction costs (1997)Universal portfolios with and…ASYMPTOTICALLY OPTIMAL PORTFOLIOS (1992)ASYMPTOTICALLY OPTIMAL PORTFO…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …Théorie de la spéculation (1900)Théorie de la spéculationNo-Regret Algorithms for Unconstrained Online Convex Optimization (2012)No-Regret Algorithms for Unco…Better Algorithms for Benign Bandits (2009)Better Algorithms for Benign …A Game of Prediction with Expert Advice (1998)Can We Learn to Beat the Best Stock (2004)“Options, Futures, and Other Derivatives” (2016)A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem (2017)Online convex optimization in the bandit setting: gradient descent without a gradient (2004)Prediction, Learning, and Games (2006)Adaptive Online Gradient Descent (2007)Trading Regret for Efficiency: Online Convex Optimization with Long Term Constraints (2011)Online ARIMA Algorithms for Time Series Prediction (2016)A Decision-Theoretic Generalization of On-Line Learning and an Application to Boosting (1997)The Nonstochastic Multiarmed Bandit Problem (2002)Online Optimization with Gradual Variations (2012)The best of both worlds: stochastic and adversarial bandits (2012)Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment (1988)CORN (2011)PAMR: Passive aggressive mean reversion strategy for portfolio selection (2012)Moving average reversion strategy for on-line portfolio selection (2015)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)The Theory of Learning in Games (1998)Online Learning and Online Convex Optimization (2011)Regret Analysis of Stochastic and Nonstochastic Multi-armed Bandit Problems (2012)Ad click prediction (2013)Contributions to the theory of games. (1960)How to use expert advice (1997)Combinatorial bandits (2012)From Bandits to Monte-Carlo Tree Search: The Optimistic Principle Applied to Optimization and Planning (2014)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Scaling behaviour in the dynamics of an economic index (1995)5 Stochastic volatility (1996)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Portfolio Analysis in a Stable Paretian Market (1965)On the Distribution of Stock Price Differences (1967)Rational Theory of Warrant Pricing (2015)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1900Théorie de la spéculation2,605 cited
  • 2003Online convex programming and generalized infinitesimal gradient ascent1,733 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 2004Efficient algorithms for online decision problems595 cited
  • 1998On‐Line Portfolio Selection Using Multiplicative Updates387 cited
  • 2006Algorithms for portfolio management based on the Newton method239 cited
  • 2006Logarithmic Regret Algorithms for Online Convex Optimization203 cited
  • 2006Improved second-order bounds for prediction with expert advice154 cited
  • 1997Universal portfolios with and without transaction costs151 cited
  • 2002Efficient algorithms for universal portfolios139 cited
  • 2010Extracting certainty from uncertainty: regret bounded by variation in costs113 cited
  • 2006Online trading algorithms and robust option pricing56 cited
  • 1992ASYMPTOTICALLY OPTIMAL PORTFOLIOS52 cited
  • 2009Better algorithms for benign bandits

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35 cited

Cited by

  • 2009Better Algorithms for Benign Bandits30 cited
  • 2012No-Regret Algorithms for Unconstrained Online Convex Optimization29 cited