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Internal Regret in On-Line Portfolio Selection

✍ Scribed by Gilles Stoltz; Gábor Lugosi


Book ID
106453027
Publisher
Springer
Year
2005
Tongue
English
Weight
264 KB
Volume
59
Category
Article
ISSN
0885-6125

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This paper is dedicated to the problem of dynamic portfolio optimization for the case when the number of decision periods is large and new information about market arrives during each such period. We propose the family of adaptive portfolio selection policies which rebalance the current portfolio du