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Nonparametric Kernel‐Based Sequential Investment Strategies

Citations

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Cited by:

  1. Guy Uziel & Ran El-Yaniv, 2017. "Growth-Optimal Portfolio Selection under CVaR Constraints," Papers 1705.09800, arXiv.org.
  2. Ormos, Mihály & Urbán, András & Zoltán, Tamás, 2009. "Logoptimális portfóliók empirikus vizsgálata [Empirical analysis of log-optimal portfolios]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(1), pages 1-18.
  3. Jin’an He & Shicheng Yin & Fangping Peng, 2024. "Weak aggregating specialist algorithm for online portfolio selection," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2405-2434, June.
  4. Seung-Hyun Moon & Yourim Yoon, 2022. "Genetic Mean Reversion Strategy for Online Portfolio Selection with Transaction Costs," Mathematics, MDPI, vol. 10(7), pages 1-20, March.
  5. 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).
  6. 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.
  7. Bin Li & Dingjiang Huang & Steven C. H. Hoi, 2013. "CORN: Correlation-Driven Nonparametric Learning Approach for Portfolio Selection -- an Online Appendix," Papers 1306.1378, arXiv.org.
  8. Ansgar Steland, 2018. "Shrinkage for covariance estimation: asymptotics, confidence intervals, bounds and applications in sensor monitoring and finance," Statistical Papers, Springer, vol. 59(4), pages 1441-1462, December.
  9. Sancetta, A., 2007. "Online Forecast Combination for Dependent Heterogeneous Data," Cambridge Working Papers in Economics 0718, Faculty of Economics, University of Cambridge.
  10. Bin Li & Steven C. H. Hoi, 2012. "Online Portfolio Selection: A Survey," Papers 1212.2129, arXiv.org, revised May 2013.
  11. Roujia Li & Jia Liu, 2022. "Online Portfolio Selection with Long-Short Term Forecasting," SN Operations Research Forum, Springer, vol. 3(4), pages 1-15, December.
  12. Vladimir V'yugin, 2014. "Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem," Papers 1410.5996, arXiv.org, revised Jun 2015.
  13. Roch, Oriol, 2013. "Histogram-based prediction of directional price relatives," Finance Research Letters, Elsevier, vol. 10(3), pages 110-115.
  14. Guo, Sini & Gu, Jia-Wen & Fok, Christopher H. & Ching, Wai-Ki, 2023. "Online portfolio selection with state-dependent price estimators and transaction costs," European Journal of Operational Research, Elsevier, vol. 311(1), pages 333-353.
  15. Zhengyao Jiang & Dixing Xu & Jinjun Liang, 2017. "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem," Papers 1706.10059, arXiv.org, revised Jul 2017.
  16. Ting-Kam Leonard Wong, 2015. "Universal portfolios in stochastic portfolio theory," Papers 1510.02808, arXiv.org, revised Dec 2016.
  17. Seung-Hyun Moon & Yong-Hyuk Kim & Byung-Ro Moon, 2019. "Empirical investigation of state-of-the-art mean reversion strategies for equity markets," Papers 1909.04327, arXiv.org.
  18. Yang Wang & Dong Wang & Yaodong Wang & You Zhang, 2018. "RACORN-K: Risk-Aversion Pattern Matching-based Portfolio Selection," Papers 1802.10244, arXiv.org.
  19. Vajda, István & Ottucsák, György, 2006. "Empirikus portfólióstratégiák [Empirical portfolio strategies]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 624-640.
  20. Ottucsák György & Vajda István, 2007. "An asymptotic analysis of the mean-variance portfolio selection," Statistics & Risk Modeling, De Gruyter, vol. 25(1), pages 63-86, January.
  21. Gang Hu & Ming Gu, 2024. "Markowitz Meets Bellman: Knowledge-distilled Reinforcement Learning for Portfolio Management," Papers 2405.05449, arXiv.org.
  22. Shuo Sun & Rundong Wang & Bo An, 2021. "Reinforcement Learning for Quantitative Trading," Papers 2109.13851, arXiv.org.
  23. Bin Li & Steven C. H. Hoi, 2012. "On-Line Portfolio Selection with Moving Average Reversion," Papers 1206.4626, arXiv.org.
  24. Man Yiu Tsang & Tony Sit & Hoi Ying Wong, 2022. "Adaptive Robust Online Portfolio Selection," Papers 2206.01064, arXiv.org.
  25. Ha, Youngmin & Zhang, Hai, 2020. "Algorithmic trading for online portfolio selection under limited market liquidity," European Journal of Operational Research, Elsevier, vol. 286(3), pages 1033-1051.
  26. Györfi László & Udina Frederic & Walk Harro, 2008. "Nonparametric nearest neighbor based empirical portfolio selection strategies," Statistics & Risk Modeling, De Gruyter, vol. 26(2), pages 145-157, March.
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