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An Introduction To Regret Minimization In Algorithmic Trading: A Survey of Universal Portfolio Techniques

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  • Thomas Orton

Abstract

In financial investing, universal portfolios are a means of constructing portfolios which guarantee a certain level of performance relative to a baseline, while making no statistical assumptions about the future market data. They fall under the broad category of regret minimization algorithms. This document covers an introduction and survey to universal portfolio techniques, covering some of the basic concepts and proofs in the area. Topics include: Constant Rebalanced Portfolios, Cover's Algorithm, Incorporating Transaction Costs, Efficient Computation of Portfolios, Including Side Information, and Follow The Leader Algorithm.

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  • Thomas Orton, 2021. "An Introduction To Regret Minimization In Algorithmic Trading: A Survey of Universal Portfolio Techniques," Papers 2105.13126, arXiv.org.
    • Handle: RePEc:arx:papers:2105.13126
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    1. Thomas M. Cover, 1991. "Universal Portfolios," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 1-29, January.
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