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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2012
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| Subjects: | |
| 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 |