Risk-adjusted exponential gradient strategies for online portfolio selection
Author:
Funder
National Natural Science Foundation of China
Humanities and Social Science Foundation of the Ministry of Education of China
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s10878-024-01187-x.pdf
Reference44 articles.
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3. Blum A, Kalai A (1999) Universal portfolios with and without transaction costs. Mach Learning 35(3):193–205
4. Cai X, Ye Z (2019) Gaussian weighting reversion strategy for accurate online portfolio selection. IEEE Trans Signal Process 67(21):5558–5570
5. Cai X (2021) Vector autoregressive weighting reversion strategy for online portfolio selection. In proceedings of the twenty-ninth international conference on international joint conferences on artificial intelligence, pp 4469–4475
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