Portfolio selection in non-stationary markets

DOI10.3233/AF-200349zbMath1485.91213OpenAlexW3157971033MaRDI QIDQ5862157

Eyal Kenig

Publication date: 4 March 2022

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

Full work available at URL: https://doi.org/10.3233/af-200349

zbMATH Keywords

portfolio selectionnon-stationary time seriesgeneralization boundssequential Rademacher complexity

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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• Sequential complexities and uniform martingale laws of large numbers
• Universal Portfolios
• Online portfolio selection
• Prediction, Learning, and Games

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