Confidence Weighted Mean Reversion Strategy for On-Line Portfolio Selection

• Main Authors: LI, Bin, HOI, Steven C. H., ZHAO, Peilin, Gopalkrishnan, Vivek
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2011
• Subjects: Databases and Information Systems; Finance and Financial Management; Management Information Systems
• 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
• Institution: Singapore Management University

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...