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Confidence Weighted Mean Reversion Strategy for Online Portfolio Selection
16 references·13 citing·38 second hop
Confidence Weighted Mean Reversion Strategy for Online Portfolio Selection (2013)Confidence Weighted Mean Reversion Strate…Prediction, Learning, and Games (2006)Prediction, Learning, and Gam…Application of support vector machines in financial time series forecasting (2001)Application of support vector…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesThe Sharpe Ratio (1994)The Sharpe RatioThe Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Further Evidence On Investor …Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Exposition of a New Theory on the Measurement of Risk (1954)Exposition of a New Theory on…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Online portfolio management via deep reinforcement learning with high-frequency data (2023)Online portfolio management v…Multiagent-based deep reinforcement learning for risk-shifting portfolio management (2022)Multiagent-based deep reinfor…Adaptive online portfolio selection with transaction costs (2021)Adaptive online portfolio sel…Portfolio trading system of digital currencies: A deep reinforcement learning with multidimensional attention gating mechanism (2020)Portfolio trading system of d…Cost-Sensitive Portfolio Selection via Deep Reinforcement Learning (2020)Cost-Sensitive Portfolio Sele…Application of Deep Q-Network in Portfolio Management (2020)Application of Deep Q-Network…An online portfolio selection algorithm using clustering approaches and considering transaction costs (2020)An online portfolio selection…Radial Basis Functions With Adaptive Input and Composite Trend Representation for Portfolio Selection (2018)Radial Basis Functions With A…Transaction cost optimization for online portfolio selection (2017)Transaction cost optimization…OLPS: a toolbox for on-line portfolio selection (2016)OLPS: a toolbox for on-line p…Weighted Moving Average Passive Aggressive Algorithm for Online Portfolio Selection (2013)Weighted Moving Average Passi…Online Portfolio Selection: A Survey (2012)Online Portfolio Selection: A…On-Line Portfolio Selection with Moving Average Reversion (2012)On-Line Portfolio Selection w…A Decision-Theoretic Generalization of On-Line Learning and an Application to Boosting (1997)Finite-time Analysis of the Multiarmed Bandit Problem (2002)Online Learning and Online Convex Optimization (2011)Online Learning and Online Convex Optimization (2012)Regret Analysis of Stochastic and Nonstochastic Multi-armed Bandit Problems (2012)Theory of games and economic behavior (2019)Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Adjustment of Stock Prices to New Information (2003)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Norm theory: Comparing reality to its alternatives. (1986)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Investor Psychology and Asset Pricing (2001)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Efficient Capital Markets: II (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)Risk Aversion and Incentive Effects (2002)A perspective on judgment and choice: Mapping bounded rationality. (2003)Maps of Bounded Rationality: Psychology for Behavioral Economics (2003)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 2006Prediction, Learning, and Games3,176 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1954Exposition of a New Theory on the Measurement of Risk2,787 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 1994The Sharpe Ratio2,542 cited
  • 1987Further Evidence On Investor Overreaction and Stock Market Seasonality2,374 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 2001Application of support vector machines in financial time series forecasting1,270 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 1996Mean Reversion in Stock Prices

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  • 2021Adaptive online portfolio selection with transaction costs60 cited
  • 2023Online portfolio management via deep reinforcement learning with high-frequency data53 cited
  • 2022Multiagent-based deep reinforcement learning for risk-shifting portfolio management47 cited
  • 2013Weighted Moving Average Passive Aggressive Algorithm for Online Portfolio Selection45 cited
  • 2016OLPS: a toolbox for on-line portfolio selection45 cited
  • 2018Radial Basis Functions With Adaptive Input and Composite Trend Representation for Portfolio Selection44 cited
  • 2020An online portfolio selection algorithm using clustering approaches and considering transaction costs43 cited