A novel online portfolio selection strategy with multiperiodical asymmetric mean reversion

DOI10.1155/2020/5956146zbMath1447.91163OpenAlexW3004384476MaRDI QIDQ779095

Hongyi Li, Zijin Peng, Wei-jun Xu

Publication date: 21 July 2020

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/5956146

zbMATH Keywords

convex optimizationportfolio selectionmultiperiodical asymmetric mean reversion

Mathematics Subject Classification ID

Convex programming (90C25) Portfolio theory (91G10)

Uses Software

• PAMR

Cites Work

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• PAMR: passive aggressive mean reversion strategy for portfolio selection
• Empirical Bayes stock market portfolios
• A new portfolio selection model with interval-typed random variables and the empirical analysis
• Universal portfolios with and without transaction costs.
• Universal Portfolios
• On‐Line Portfolio Selection Using Multiplicative Updates
• 10.1162/153244303321897672

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