Confidence Weighted Mean Reversion Strategy for Online Portfolio Selection

• Main Authors: LI, Bin, HOI, Steven C. H., ZHAO, Peilin, Gopalkrishnan, Vivekanand
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2013
• Subjects: Online learning; confidence weighted learning; Portfolio selection; mean reversion; Databases and Information Systems; Finance and Financial Management; Theory and Algorithms
• Online Access: https://ink.library.smu.edu.sg/sis_research/2268; https://ink.library.smu.edu.sg/context/sis_research/article/3268/viewcontent/Confidence_Weighted_MRS_Online_Portfolio_2013_afv.pdf
• Institution: Singapore Management University

Online portfolio selection has been attracting increasing attention from the data mining and machine learning communities. All existing online portfolio selection strategies focus on the first order information of a portfolio vector, though the second order information may also be beneficial to a st...