Online Portfolio Optimization with Risk Control

DOI10.5540/tcam.2021.022.03.00475zbMath1530.91539MaRDI QIDQ6084585

Carlos C. H. Borges, Unnamed Author, Unnamed Author

Publication date: 2 December 2023

Published in: Trends in Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

portfolio optimizationonline gradient descenttime varying CAPM

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• Coherent Measures of Risk
• Statistical Analysis of Financial Data in R
• Online Algorithms for the Portfolio Selection Problem
• Game-Theoretic Optimal Portfolios
• Competitive Optimality of Logarithmic Investment
• Universal Portfolios
• Transaction cost optimization for online portfolio selection
• On‐Line Portfolio Selection Using Multiplicative Updates
• Universal portfolios with side information
• Online portfolio selection
• Stochastic nonstationary optimization for finding universal portfolios

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