Confidence Weighted Mean Reversion Strategy for On-Line Portfolio Selection
On-line portfolio selection has been attracting increasing attention from the data mining and machine learning communities. All existing on-line portfolio selection strategies focus on the first order information of a portfolio vector, though the second order information may also be beneficial to a...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2011
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/sis_research/2292 https://ink.library.smu.edu.sg/context/sis_research/article/3292/viewcontent/Hoi2011ConfidenceWeighted.pdf |
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| Institution: | Singapore Management University |
| Language: | English |