Online portfolio selection with long-short term forecasting

DOI10.1007/s43069-022-00169-1zbMath1498.91397OpenAlexW4296642223MaRDI QIDQ2079300

Roujia Li, Jia Liu

Publication date: 29 September 2022

Published in: SN Operations Research Forum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s43069-022-00169-1

zbMATH Keywords

conditional value-at-riskonline portfolio selectionlong-short term forecasting

Mathematics Subject Classification ID

Portfolio theory (91G10)

Uses Software

• OLPS
• CORN
• PAMR

Cites Work

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• Mean-CVaR portfolio selection: a nonparametric estimation framework
• PAMR: passive aggressive mean reversion strategy for portfolio selection
• Risk management strategies for finding universal portfolios
• Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics
• Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation
• Universal Portfolios
• On‐Line Portfolio Selection Using Multiplicative Updates
• Online portfolio selection
• AN ONLINE PORTFOLIO SELECTION ALGORITHM WITH REGRET LOGARITHMIC IN PRICE VARIATION
• NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES
• Stochastic nonstationary optimization for finding universal portfolios

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