On-line portfolio selection

• Main Author: Li, Bin.
• Other Authors: Hoi Chu Hong
• Format: Theses and Dissertations
• Language: English
• Published: 2013
• Subjects: DRNTU::Engineering::Computer science and engineering::Computing methodologies::Artificial intelligence; DRNTU::Business::Finance::Portfolio management
• Online Access: http://hdl.handle.net/10356/54690
• Institution: Nanyang Technological University

On-line portfolio selection, aiming to sequentially determine optimal allocations across a set of assets, is a fundamental research problem in computational finance. This thesis investigates this problem by conducting a comprehensive survey and presenting a family of new strategies using machine lea...