Robust median reversion strategy for online portfolio selection

• Main Authors: HUANG, Dingjiang, ZHOU, Junlong, LI, Bin, HOI, Steven C. H., ZHOU, Shuigeng
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2016
• Subjects: Portfolios; Robustness; Investment; Mathematical model; Estimation; Algorithm design and analysis; Data mining; L1-median; Portfolio selection; online learning; mean reversion; robust median reversion; Computer Sciences; Databases and Information Systems; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/sis_research/3408; https://ink.library.smu.edu.sg/context/sis_research/article/4409/viewcontent/Robustmedianreversionstrategyforonlineportfolioselection.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...