PAMR: passive aggressive mean reversion strategy for portfolio selection
From MaRDI portal
Publication:420935
DOI10.1007/s10994-012-5281-zzbMath1238.91128OpenAlexW2106052345MaRDI QIDQ420935
Vivekanand Gopalkrishnan, Peilin Zhao, Steven C. H. Hoi, Bin Li
Publication date: 23 May 2012
Published in: Machine Learning (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/sis_research/2295
Related Items (17)
Adaptive online portfolio strategy based on exponential gradient updates ⋮ Universal portfolio selection strategy by aggregating online expert advice ⋮ Transaction cost optimization for online portfolio selection ⋮ Closed-form solutions for short-term sparse portfolio optimization ⋮ Algorithmic trading for online portfolio selection under limited market liquidity ⋮ Adaptive moment estimation for universal portfolio selection strategy ⋮ Online portfolio selection with state-dependent price estimators and transaction costs ⋮ A lossless online Bayesian classifier ⋮ The two-step problem of investment portfolio selection from two risk assets via the probability criterion ⋮ Adaptive online portfolio selection with transaction costs ⋮ Online portfolio selection ⋮ A kernel-based trend pattern tracking system for portfolio optimization ⋮ Unnamed Item ⋮ Optimal online algorithms for the portfolio selection problem, bi-directional trading and -search with interrelated prices ⋮ Online portfolio selection with long-short term forecasting ⋮ A novel online portfolio selection strategy with multiperiodical asymmetric mean reversion ⋮ Aggregating expert advice strategy for online portfolio selection with side information
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Logarithmic regret algorithms for online convex optimization
- A finite algorithm for finding the projection of a point onto the canonical simplex of \({\mathbb R}^ n\)
- Empirical Bayes stock market portfolios
- Universal portfolios with and without transaction costs.
- Large margin classification using the perceptron algorithm
- 10.1162/15324430260185600
- Growth Optimal Investment with Transaction Costs
- PORTFOLIO SELECTION AND ONLINE LEARNING
- On the Generalization Ability of On-Line Learning Algorithms
- Universal Portfolios
- Efficient Universal Portfolios for Past‐Dependent Target Classes
- 10.1162/jmlr.2003.3.4-5.951
- 10.1162/153244303321897672
- Universal portfolios with side information
- KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES
- Online Learning with Kernels
- An asymptotic analysis of the mean-variance portfolio selection
- Prediction, Learning, and Games
- NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES
- Nonparametric nearest neighbor based empirical portfolio selection strategies
- Internal regret in on-line portfolio selection
- The relaxed online maximum margin algorithm
This page was built for publication: PAMR: passive aggressive mean reversion strategy for portfolio selection
