Switching Strategies for Sequential Decision Problems With Multiplicative Loss With Application to Portfolios

DOI10.1109/TSP.2009.2013906zbMath1391.94278OpenAlexW2140275301MaRDI QIDQ4569699

Suleyman S. Kozat, Andrew C. Singer

Publication date: 9 July 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tsp.2009.2013906

Mathematics Subject Classification ID

Decision theory (91B06) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Portfolio theory (91G10)

Related Items (3)

Universal portfolio selection strategy by aggregating online expert advice ⋮ Online portfolio selection ⋮ A tree-weighting approach to sequential decision problems with multiplicative loss

This page was built for publication: Switching Strategies for Sequential Decision Problems With Multiplicative Loss With Application to Portfolios