AN ONLINE PORTFOLIO SELECTION ALGORITHM WITH REGRET LOGARITHMIC IN PRICE VARIATION

DOI10.1111/mafi.12006zbMath1312.91081OpenAlexW1495697585MaRDI QIDQ5247422

Elad Hazan, Satyen Kale

Publication date: 24 April 2015

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12006

zbMATH Keywords

portfolio selectionregret minimizationonline convex optimization

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Convex programming (90C25) Portfolio theory (91G10)

Related Items (4)

Universal portfolio selection strategy by aggregating online expert advice ⋮ Online portfolio selection ⋮ Online portfolio selection with long-short term forecasting ⋮ Aggregating expert advice strategy for online portfolio selection with side information

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• 10.1162/153244303321897672

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