Online portfolio selection: A survey

• Main Authors: LI, Bin, HOI, Steven C. H.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: Machine learning; optimization; portfolio selection; Databases and Information Systems; Finance and Financial Management; Numerical Analysis and Scientific Computing; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/sis_research/2263; https://ink.library.smu.edu.sg/context/sis_research/article/3263/viewcontent/Online_Portfolio_Selection__A_Survey_afv.pdf
• Institution: Singapore Management University

Online portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intelligence, machine learning, and data mining. This article aims to provide a comprehensive survey and a s...