Robust and adaptive algorithms for online portfolio selection

DOI10.1080/14697688.2012.691175zbMath1279.91188arXiv1005.2979OpenAlexW2045967071MaRDI QIDQ5745634

Ajay Jasra, Theodoros Tsagaris, Niall M. Adams

Publication date: 30 January 2014

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

Full work available at URL: https://arxiv.org/abs/1005.2979

zbMATH Keywords

adaptive systemsstatisticsportfolio allocationquantitative trading strategies

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (2)

Transaction cost optimization for online portfolio selection ⋮ Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions

Cites Work

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• Computation of the condition number of a nonsingular symmetric toeplitz matrix with the Levinson-durbin algorithm
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• Updating the singular value decomposition
• Unnamed Item

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