Robust median reversion strategy for on-line portfolio selection

• Main Authors: HUANG, Dingjiang, ZHOU, Junlong, LI, Bin, HOI, Steven, ZHOU, Shuigeng
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2013
• Subjects: Computer Sciences; Databases and Information Systems; Finance and Financial Management; Numerical Analysis and Scientific Computing
• Online Access: https://ink.library.smu.edu.sg/sis_research/2326; https://ink.library.smu.edu.sg/context/sis_research/article/3326/viewcontent/Robust_Median_Reversion_Strategy_for_On_Line_Portfolio_Selection.pdf
• Institution: Singapore Management University

On-line portfolio selection has been attracting increasing interests from artificial intelligence community in recent decades. Mean reversion, as one most frequent pattern in financial markets, plays an important role in some state-of-the-art strategies. Though successful in certain datasets, existi...