Online portfolio selection principles and algorithms
With the aim to sequentially determine optimal allocations across a set of assets, Online Portfolio Selection (OLPS) has significantly reshaped the financial investment landscape. Online Portfolio Selection: Principles and Algorithms supplies a comprehensive survey of existing OLPS principles and pr...
| Otros Autores: | , |
|---|---|
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Boca Raton ; London :
CRC Press
[2016].
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| Edición: | 1st edition |
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009630004506719 |
Tabla de Contenidos:
- Front Cover; Contents; List of Figures; List of Tables; List of Notations; Preface; Acknowledgments; Authors; Part I - Introduction; Chapter 1 - Introduction; Chapter 2 - Problem Formulation; Part II - Principles; Chapter 3 - Benchmarks; Chapter 4 - Follow theWinner; Chapter 5 - Follow the Loser; Chapter 6 - Pattern Matching; Chapter 7 - Meta-Learning; Part III - Algorithms; Chapter 8 - Correlation-Driven Nonparametric Learning; Chapter 9 - Passive-Aggressive Mean Reversion; Chapter 10 - Confidence-Weighted Mean Reversion; Chapter 11 - Online Moving Average Reversion
- Part IV - Empirical StudiesChapter 12 - Implementations; Chapter 13 - Empirical Results; Chapter 14 - Threats to Validity; Part V - Conclusion; Chapter 15 - Conclusions; Appendix A - OLPS: AToolbox for Online Portfolio Selection; Appendix B - Proofs and Derivations; Appendix C - Supplementary Data and Portfolio Statistics; Bibliography; Back Cover
