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Boosting Exponential Gradient Strategy for Online Portfolio Selection: An Aggregating Experts’ Advice Method
16 references·1 citing·33 second hop
Boosting Exponential Gradient Strategy for Online Portfolio Selection: An Aggregating Experts’ Advice Method (2019)Boosting Exponential Gradient Strategy fo…Robust Median Reversion Strategy for Online Portfolio Selection (2016)Robust Median Reversion Strat…Moving average reversion strategy for on-line portfolio selection (2015)Moving average reversion stra…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…BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM (2010)BETTER THAN DYNAMIC MEAN‐VARI…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…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Universal Portfolios With and Without Transaction Costs (1999)Universal Portfolios With and…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…Universal portfolios with side information (1996)Universal portfolios with sid…Universal Portfolios (1991)Universal PortfoliosA Nonstandard Approach to Option Pricing (1991)A Nonstandard Approach to Opt…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*An online portfolio strategy based on trend promote price tracing ensemble learning algorithm (2021)An online portfolio strategy …A Game of Prediction with Expert Advice (1998)Prediction, Learning, and Games (2006)“Options, Futures, and Other Derivatives” (2016)A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem (2017)Portfolio Selection: Efficient Diversification of Investments (1959)Adapted solution of a backward stochastic differential equation (1990)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Controlled Markov Processes and Viscosity Solutions (2005)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)Portfolio Selection with Transaction Costs (1990)Exponentiated Gradient versus Gradient Descent for Linear Predictors (1997)Introduction to Online Convex Optimization (2016)Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment (1988)Efficient algorithms for online decision problems (2004)CORN (2011)Portfolio Selection (1952)Portfolio Selection: Efficient Diversification of Investments. (1962)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Online portfolio selection (2014)An analog of the minimax theorem for vector payoffs (1956)Contributions to the theory of games. (1960)Relative Loss Bounds for On-Line Density Estimation with the Exponential Family of Distributions (2001)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)A Simplified Model for Portfolio Analysis (1963)Essays in the Theory of Risk-Bearing. (1972)A desicion-theoretic generalization of on-line learning and an application to boosting (1995)A Decision-Theoretic Generalization of On-Line Learning and an Application to Boosting (1997)Bandit Algorithms (2020)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

  • 1952PORTFOLIO SELECTION*18,429 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 1991Universal Portfolios581 cited
  • 1998On‐Line Portfolio Selection Using Multiplicative Updates387 cited
  • 1996Universal portfolios with side information349 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
  • 1997Universal portfolios with and without transaction costs151 cited
  • 2015Moving average reversion strategy for on-line portfolio selection147 cited
  • 2016Robust Median Reversion Strategy for Online Portfolio Selection138 cited
  • 2013Confidence Weighted Mean Reversion Strategy for Online Portfolio Selection133 cited
  • 2010BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM130 cited
  • 1991A Nonstandard Approach to Option Pricing97 cited
  • 1999

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Universal Portfolios With and Without Transaction Costs
95 cited

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  • 2021An online portfolio strategy based on trend promote price tracing ensemble learning algorithm24 cited