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On-line portfolio selection using stochastic programming

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  • Gaivoronski, Alexei A.
  • Stella, Fabio

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  • Gaivoronski, Alexei A. & Stella, Fabio, 2003. "On-line portfolio selection using stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1013-1043, April.
    • Handle: RePEc:eee:dyncon:v:27:y:2003:i:6:p:1013-1043
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    References listed on IDEAS

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    1. Ron Dembo & Dan Rosen, 1999. "The practice of portfolio replication. A practical overview of forward and inverse problems," Annals of Operations Research, Springer, vol. 85(0), pages 267-284, January.
    2. Kenneth J. Worzel & Christiana Vassiadou-Zeniou & Stavros A. Zenios, 1994. "Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities," Operations Research, INFORMS, vol. 42(2), pages 223-233, April.
    3. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    4. Alexei Gaivoronski & Petter de Lange, 2000. "An Asset Liability Management Model for Casualty Insurers: Complexity Reduction vs. Parameterized Decision Rules," Annals of Operations Research, Springer, vol. 99(1), pages 227-250, December.
    5. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    6. Kjetil Høyland & Stein W. Wallace, 2001. "Generating Scenario Trees for Multistage Decision Problems," Management Science, INFORMS, vol. 47(2), pages 295-307, February.
    7. John M. Mulvey & Hercules Vladimirou, 1992. "Stochastic Network Programming for Financial Planning Problems," Management Science, INFORMS, vol. 38(11), pages 1642-1664, November.
    8. Alexei Gaivoronski & Fabio Stella, 2000. "Stochastic Nonstationary Optimization for Finding Universal Portfolios," Annals of Operations Research, Springer, vol. 100(1), pages 165-188, December.
    9. Farshid Jamshidian, 1992. "Asymptotically Optimal Portfolios," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 131-150, April.
    10. Julia L. Higle & Suvrajeet Sen, 1991. "Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse," Mathematics of Operations Research, INFORMS, vol. 16(3), pages 650-669, August.
    11. M. I. Kusy & W. T. Ziemba, 1986. "A Bank Asset and Liability Management Model," Operations Research, INFORMS, vol. 34(3), pages 356-376, June.
    12. Gaivoronski, A & Stella, F, 2000. "Nonstationary Optimization Approach for Finding Universal Portfolios," MPRA Paper 21913, University Library of Munich, Germany.
    13. Thomas M. Cover, 1991. "Universal Portfolios," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 1-29, January.
    14. Soren S. Nielsen & Stavros A. Zenios, 1993. "A Massively Parallel Algorithm for Nonlinear Stochastic Network Problems," Operations Research, INFORMS, vol. 41(2), pages 319-337, April.
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    Citations

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    Cited by:

    1. Fabio Stella & Alfonso Ventura, 2011. "Defensive online portfolio selection," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 2(1/2), pages 88-105.
    2. Fereydooni, Ali & Barak, Sasan & Asaad Sajadi, Seyed Mehrzad, 2024. "A novel online portfolio selection approach based on pattern matching and ESG factors," Omega, Elsevier, vol. 123(C).
    3. Guo, Sini & Gu, Jia-Wen & Ching, Wai-Ki, 2021. "Adaptive online portfolio selection with transaction costs," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1074-1086.
    4. Gaivoronski, Alexei A. & Krylov, Sergiy & van der Wijst, Nico, 2005. "Optimal portfolio selection and dynamic benchmark tracking," European Journal of Operational Research, Elsevier, vol. 163(1), pages 115-131, May.
    5. Sjur Flåm, 2010. "Portfolio management without probabilities or statistics," Annals of Finance, Springer, vol. 6(3), pages 357-368, July.
    6. Bin Li & Steven C. H. Hoi, 2012. "Online Portfolio Selection: A Survey," Papers 1212.2129, arXiv.org, revised May 2013.
    7. Yuichi Takano & Jun-ya Gotoh, 2011. "Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(2), pages 191-211, May.
    8. Xingyu Yang & Jin’an He & Hong Lin & Yong Zhang, 2020. "Boosting Exponential Gradient Strategy for Online Portfolio Selection: An Aggregating Experts’ Advice Method," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 231-251, January.
    9. Yong Zhang & Xingyu Yang, 2017. "Online Portfolio Selection Strategy Based on Combining Experts’ Advice," Computational Economics, Springer;Society for Computational Economics, vol. 50(1), pages 141-159, June.
    10. Füss, Roland & Miebs, Felix & Trübenbach, Fabian, 2014. "A jackknife-type estimator for portfolio revision," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 14-28.
    11. Christopher Dance & Alexei Gaivoronski, 2012. "Stochastic optimization for real time service capacity allocation under random service demand," Annals of Operations Research, Springer, vol. 193(1), pages 221-253, March.

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