PAMR: Passive-Aggressive Mean Reversion Strategy for Portfolio Selection

PAMR: Passive-Aggressive Mean Reversion Strategy for Portfolio Selection

This project proposes a novel online portfolio selection strategy named ``Passive Aggressive Mean Reversion" (PAMR). Unlike traditional trend following approaches, the proposed approach relies upon the mean reversion relation of financial markets. Equipped with online passive aggressive learnin...

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Bibliographic Details
Main Authors: LI, Bin, ZHAO, Peilin, HOI, Steven C. H., Gopalkrishnan, Vivekanand
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2012
Subjects:
Portfolio selection
Mean reversion
Passive aggressive learning
Online learning
Computer Sciences
Databases and Information Systems
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/sis_research/2295
https://ink.library.smu.edu.sg/context/sis_research/article/3295/viewcontent/PAMR_Passive_Aggressive_Mean_Reversion_Strategy_for_Portfolio_Selection.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/sis_research/2295
https://ink.library.smu.edu.sg/context/sis_research/article/3295/viewcontent/PAMR_Passive_Aggressive_Mean_Reversion_Strategy_for_Portfolio_Selection.pdf

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