Combination forecasting reversion strategy for online portfolio selection

• Main Authors: HUANG, Dingjiang, YU, Shunchang, LI, Bin, HOI, Steven C. H., ZHOU, Shuigeng G.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2018
• Subjects: Combination forecasting estimators; Combination forecasting reversion; Mean reversion; Online learning; Portfolio selection; Databases and Information Systems
• Online Access: https://ink.library.smu.edu.sg/sis_research/4154; https://ink.library.smu.edu.sg/context/sis_research/article/5158/viewcontent/a58_huang.pdf
• Institution: Singapore Management University

Machine learning and artificial intelligence techniques have been applied to construct online portfolio selection strategies recently. A popular and state-of-the-art family of strategies is to explore the reversion phenomenon through online learning algorithms and statistical prediction models. Desp...