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Combination Forecasting Reversion Strategy for Online Portfolio Selection
16 references·0 citing·48 second hop
Combination Forecasting Reversion Strategy for Online Portfolio Selection (2018)Combination Forecasting Reversion Strateg…The forecast combination puzzle: A simple theoretical explanation (2016)The forecast combination puzz…Handbook of Economic Forecasting (2013)Handbook of Economic Forecast…Optimal combination forecasts for hierarchical time series (2011)Optimal combination forecasts…Logarithmic regret algorithms for online convex optimization (2007)Logarithmic regret algorithms…Prediction, Learning, and Games (2006)Prediction, Learning, and Gam…Chapter 4 Forecast Combinations (2006)Chapter 4 Forecast Combinatio…Can We Learn to Beat the Best Stock (2004)Can We Learn to Beat the Best…Online convex programming and generalized infinitesimal gradient ascent (2003)Online convex programming and…Performance functions and reinforcement learning for trading systems and portfolios (1998)Performance functions and rei…On‐Line Portfolio Selection Using Multiplicative Updates (1998)On‐Line Portfolio Selection U…Universal portfolios with side information (1996)Universal portfolios with sid…Stacked Regressions (1996)Stacked RegressionsThe Sharpe Ratio (1994)The Sharpe RatioUniversal Portfolios (1991)Universal PortfoliosThe Combination of Forecasts (1969)The Combination of ForecastsA Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Book Review: Time Series Analysis: Forecasting and Control (1977)Macroeconomics and Reality (1980)Statistical analysis of cointegration vectors (1988)25 years of time series forecasting (2006)Probabilistic Forecasts, Calibration and Sharpness (2007)Empirical Asset Pricing via Machine Learning (2020)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 (2012)Regret Analysis of Stochastic and Nonstochastic Multi-armed Bandit Problems (2012)Taking the Human Out of the Loop: A Review of Bayesian Optimization (2015)Theory of games and economic behavior (2019)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Combining forecasts: A review and annotated bibliography (1989)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)DeepAR: Probabilistic forecasting with autoregressive recurrent networks (2019)The Precision of National Income Estimates (1942)New Methods of Quality Control (1963)Short-Term Sales Forecasting (1965)Principles of Forecasting (2001)Time series forecasting using a hybrid ARIMA and neural network model (2003)Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Adjustment of Stock Prices to New Information (1969)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)Online convex optimization in the bandit setting: gradient descent without a gradient (2004)Non-Stationary Stochastic Optimization (2015)Introduction to Online Convex Optimization (2016)Introduction to Online Convex Optimization (2016)Exponentiated Gradient versus Gradient Descent for Linear Predictors (1997)The Theory of Learning in Games (1998)A Simple Adaptive Procedure Leading to Correlated Equilibrium (2000)Online Learning and Online Convex Optimization (2011)How to Use Security Analysis to Improve Portfolio Selection (1973)Investment Analysis and Portfolio Management. (1979)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Does it pay to be different? An analysis of the relationship between corporate social and financial performance (2008)Portfolio Selection (1952)PORTFOLIO SELECTION* (1952)Essays in the Theory of Risk-Bearing. (1972)A desicion-theoretic generalization of on-line learning and an application to boosting (1995)Bandit Algorithms (2020)Methods For Combining Experts' Probability Assessments (1995)COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS (2004)The ensemble approach to forecasting: A review and synthesis (2021)
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References

  • 1969The Combination of Forecasts3,438 cited
  • 2006Prediction, Learning, and Games3,223 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1994The Sharpe Ratio2,542 cited
  • 1996Stacked Regressions1,966 cited
  • 2003Online convex programming and generalized infinitesimal gradient ascent1,789 cited
  • 2006Chapter 4 Forecast Combinations1,318 cited
  • 2013Handbook of Economic Forecasting1,290 cited
  • 2007Logarithmic regret algorithms for online convex optimization844 cited
  • 1991Universal Portfolios581 cited
  • 2011Optimal combination forecasts for hierarchical time series471 cited
  • 1998On‐Line Portfolio Selection Using Multiplicative Updates395 cited
  • 1996Universal portfolios with side information349 cited
  • 1998Performance functions and reinforcement learning for trading systems and portfolios292 cited
  • 2004Can We Learn to Beat the Best Stock246 cited
  • 2016The forecast combination puzzle: A simple theoretical explanation246 cited

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