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On-Line Portfolio Selection Using Multiplicative Updates

✍ Scribed by David P. Helmbold; Robert E. Schapire; Yoram Singer; Manfred K. Warmuth


Book ID
108550434
Publisher
John Wiley and Sons
Year
1998
Tongue
English
Weight
314 KB
Volume
8
Category
Article
ISSN
0960-1627

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πŸ“œ SIMILAR VOLUMES


On-line portfolio selection using stocha
✍ Alexei A. Gaivoronski; Fabio Stella πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 354 KB

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