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Universal Portfolios

Citations

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Cited by:

  1. James Chok & Geoffrey M. Vasil, 2023. "Convex optimization over a probability simplex," Papers 2305.09046, arXiv.org.
  2. Winkler, Julian, 2024. "Changing preferences as a source of stock return variation," MPRA Paper 122802, University Library of Munich, Germany.
  3. Andrew L. Allan & Christa Cuchiero & Chong Liu & David J. Prömel, 2023. "Model‐free portfolio theory: A rough path approach," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 709-765, July.
  4. Foster, Dean P. & Vohra, Rakesh, 1999. "Regret in the On-Line Decision Problem," Games and Economic Behavior, Elsevier, vol. 29(1-2), pages 7-35, October.
  5. Leonard C. MacLean & Yonggan Zhao & William T. Ziemba, 2016. "Optimal capital growth with convex shortfall penalties," Quantitative Finance, Taylor & Francis Journals, vol. 16(1), pages 101-117, January.
  6. 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.
  7. Erhan Bayraktar & Donghan Kim & Abhishek Tilva, 2024. "Quantifying dimensional change in stochastic portfolio theory," Mathematical Finance, Wiley Blackwell, vol. 34(3), pages 977-1021, July.
  8. DeMarzo, Peter M. & Kremer, Ilan & Mansour, Yishay, 2016. "Robust option pricing: Hannan and Blackwell meet Black and Scholes," Journal of Economic Theory, Elsevier, vol. 163(C), pages 410-434.
  9. Guy Uziel & Ran El-Yaniv, 2017. "Growth-Optimal Portfolio Selection under CVaR Constraints," Papers 1705.09800, arXiv.org.
  10. Lyu, Benmeng & Wu, Boqian & Guo, Sini & Gu, Jia-Wen & Ching, Wai-Ki, 2024. "Robust online portfolio optimization with cash flows," Omega, Elsevier, vol. 129(C).
  11. Gabriel Turinici, 2023. "High order universal portfolios," Papers 2311.13564, arXiv.org, revised Jun 2024.
  12. Panpan Ren & Jiang-Lun Wu, 2017. "Foreign exchange market modelling and an on-line portfolio selection algorithm," Papers 1707.00203, arXiv.org.
  13. Kei Takeuchi & Masayuki Kumon & Akimichi Takemura, 2007. "A new formulation of asset trading games in continuous time with essential forcing of variation exponent," Papers 0708.0275, arXiv.org, revised Jan 2010.
  14. Dokuchaev, N. G. & Savkin, Andrey V., 2004. "Universal strategies for diffusion markets and possibility of asymptotic arbitrage," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 409-419, June.
  15. 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.
  16. 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.
  17. Yoshihiro Shirai, 2023. "Acceptable Bilateral Gamma Parameters," Papers 2301.05333, arXiv.org.
  18. 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).
  19. Masayuki Kumon & Jing Li & Akimichi Takemura & Kei Takeuchi, 2012. "Bayesian logistic betting strategy against probability forecasting," Papers 1204.3496, arXiv.org.
  20. 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.
  21. MacLean, Leonard C. & Sanegre, Rafael & Zhao, Yonggan & Ziemba, William T., 2004. "Capital growth with security," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 937-954, February.
  22. Jin’an He & Fangping Peng & Xiuying Xie, 2024. "Risk-adjusted exponential gradient strategies for online portfolio selection," Journal of Combinatorial Optimization, Springer, vol. 48(1), pages 1-25, August.
  23. Philip Ernst & Dean Foster & Larry Shepp, 2016. "On Optimal Retirement (How to Retire Early)," Papers 1605.01028, arXiv.org.
  24. Woosung Koh & Insu Choi & Yuntae Jang & Gimin Kang & Woo Chang Kim, 2023. "Curriculum Learning and Imitation Learning for Model-free Control on Financial Time-series," Papers 2311.13326, arXiv.org, revised Jan 2024.
  25. Alex Garivaltis, 2019. "Cover's Rebalancing Option With Discrete Hindsight Optimization," Papers 1903.00829, arXiv.org, revised Oct 2022.
  26. Soumik Pal & Ting-Kam Leonard Wong, 2013. "Energy, entropy, and arbitrage," Papers 1308.5376, arXiv.org, revised Jan 2016.
  27. Tseng, Chiu-Che & Gmytrasiewicz, Piotr J., 2006. "Real-time decision support and information gathering system for financial domain," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 417-436.
  28. Damien Challet, 2016. "Regrets, learning and wisdom," Post-Print hal-01312973, HAL.
  29. Traian A. Pirvu & Gordan Žitković, 2009. "Maximizing The Growth Rate Under Risk Constraints," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 423-455, July.
  30. Eckhard Platen & Renata Rendek, 2012. "Approximating the numéraire portfolio by naive diversification," Journal of Asset Management, Palgrave Macmillan, vol. 13(1), pages 34-50, February.
  31. Dean P. Foster & H. Peyton Young, 2012. "A strategy-proof test of portfolio returns," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 671-683, March.
  32. David Scott Hunter & Ajay Saini & Tauhid Zaman, 2017. "Picking Winners: A Data Driven Approach to Evaluating the Quality of Startup Companies," Papers 1706.04229, arXiv.org, revised Jul 2018.
  33. Parkes, David C. & Huberman, Bernardo A., 2001. "Multiagent Cooperative Search for Portfolio Selection," Games and Economic Behavior, Elsevier, vol. 35(1-2), pages 124-165, April.
  34. Jarrod Wilcox, 2020. "Better portfolios with higher moments," Journal of Asset Management, Palgrave Macmillan, vol. 21(7), pages 569-580, December.
  35. Nikolai Dokuchaev, 2007. "Mean-Reverting Market Model: Speculative Opportunities and Non-Arbitrage," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(4), pages 319-337.
  36. 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.
  37. Yoram Singer, 2013. "Switching Portfolios," Papers 1301.7413, arXiv.org.
  38. Christa Cuchiero & Walter Schachermayer & Ting‐Kam Leonard Wong, 2019. "Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio," Mathematical Finance, Wiley Blackwell, vol. 29(3), pages 773-803, July.
  39. Hsieh, Chung-Han, 2024. "On solving robust log-optimal portfolio: A supporting hyperplane approximation approach," European Journal of Operational Research, Elsevier, vol. 313(3), pages 1129-1139.
  40. Garud N. Iyengar, 2005. "Robust Dynamic Programming," Mathematics of Operations Research, INFORMS, vol. 30(2), pages 257-280, May.
  41. Purushottam Parthasarathy & Avinash Bhardwaj & Manjesh K. Hanawal, 2023. "Online Universal Dirichlet Factor Portfolios," Papers 2308.07763, arXiv.org, revised Nov 2023.
  42. Bin Li & Steven C. H. Hoi, 2012. "Online Portfolio Selection: A Survey," Papers 1212.2129, arXiv.org, revised May 2013.
  43. A. Borodin & R. El-Yaniv & V. Gogan, 2011. "Can We Learn to Beat the Best Stock," Papers 1107.0036, arXiv.org.
  44. Peter Baxendale & Ting-Kam Leonard Wong, 2019. "Random concave functions," Papers 1910.13668, arXiv.org, revised May 2021.
  45. Michael Heinrich Baumann, 2022. "Beating the market? A mathematical puzzle for market efficiency," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 279-325, June.
  46. Winkler, Julian, 2023. "Managing fundamentals versus preferences: Re-balancing portfolios and stock returns," MPRA Paper 119149, University Library of Munich, Germany.
  47. Keith Cuthbertson & Simon Hayley & Nick Motson & Dirk Nitzsche, 2016. "What Does Rebalancing Really Achieve?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(3), pages 224-240, July.
  48. Shmilovici Armin & Ben-Gal Irad, 2012. "Predicting Stock Returns Using a Variable Order Markov Tree Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(5), pages 1-33, December.
  49. Zerong Chen, 2024. "Evolutionary Finance: Models with Short-Lived Assets," Economics Discussion Paper Series 2402, Economics, The University of Manchester.
  50. Donghan Kim, 2019. "Open Markets," Papers 1912.13110, arXiv.org.
  51. Gabor Nagy & Gergo Barta & Tamas Henk, 2015. "Portfolio optimization using local linear regression ensembles in RapidMiner," Papers 1506.08690, arXiv.org.
  52. 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.
  53. Rémi Jézéquel & Dmitrii M. Ostrovskii & Pierre Gaillard, 2022. "Efficient and Near-Optimal Online Portfolio Selection," Working Papers hal-03787674, HAL.
  54. Dmitry B. Rokhlin, 2021. "Relative utility bounds for empirically optimal portfolios," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 93(3), pages 437-462, June.
  55. Greenwald, Amy & Friedman, Eric J. & Shenker, Scott, 2001. "Learning in Network Contexts: Experimental Results from Simulations," Games and Economic Behavior, Elsevier, vol. 35(1-2), pages 80-123, April.
  56. Christa Cuchiero & Walter Schachermayer & Ting-Kam Leonard Wong, 2016. "Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio," Papers 1611.09631, arXiv.org.
  57. Vladimir V'yugin, 2014. "Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem," Papers 1410.5996, arXiv.org, revised Jun 2015.
  58. James DiLellio, 2015. "A Kalman filter control technique in mean-variance portfolio management," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(2), pages 235-261, April.
  59. Steven Campbell & Ting-Kam Leonard Wong, 2021. "Functional portfolio optimization in stochastic portfolio theory," Papers 2103.10925, arXiv.org, revised Oct 2021.
  60. Nicole Tianjiao Yang & Tomoyuki Ichiba, 2023. "Relative Arbitrage Opportunities in an Extended Mean Field System," Papers 2311.02690, arXiv.org, revised Oct 2024.
  61. Thomas Orton, 2021. "An Introduction To Regret Minimization In Algorithmic Trading: A Survey of Universal Portfolio Techniques," Papers 2105.13126, arXiv.org.
  62. 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.
  63. Hens, Thorsten & Schenk-Hoppe, Klaus Reiner, 2005. "Evolutionary stability of portfolio rules in incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 43-66, February.
  64. Renata Rendek, 2013. "Modeling Diversified Equity Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 23, July-Dece.
  65. Sébastien Bubeck & Ronen Eldan, 2019. "The Entropic Barrier: Exponential Families, Log-Concave Geometry, and Self-Concordance," Mathematics of Operations Research, INFORMS, vol. 44(1), pages 264-276, February.
  66. 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.
  67. Ting-Kam Leonard Wong, 2015. "Universal portfolios in stochastic portfolio theory," Papers 1510.02808, arXiv.org, revised Dec 2016.
  68. Yong Zhang & Jiahao Li & Xingyu Yang & Jianliang Zhang, 2024. "Competitive Online Strategy Based on Improved Exponential Gradient Expert and Aggregating Method," Computational Economics, Springer;Society for Computational Economics, vol. 64(2), pages 789-814, August.
  69. 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.
  70. Zhong, Yannan & Xu, Weijun & Li, Hongyi & Zhong, Weiwei, 2024. "Distributed mean reversion online portfolio strategy with stock network," European Journal of Operational Research, Elsevier, vol. 314(3), pages 1143-1158.
  71. Steven Y. K. Wong & Jennifer S. K. Chan & Lamiae Azizi & Richard Y. D. Xu, 2022. "Time‐varying neural network for stock return prediction," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 29(1), pages 3-18, January.
  72. Lu, Yueliang (Jacques) & Tian, Weidong, 2023. "An on-line machine learning return prediction," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  73. 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.
  74. 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.
  75. Xavier Warin, 2016. "The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach," Papers 1611.04877, arXiv.org.
  76. 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.
  77. 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.
  78. Giovanni Bonaccolto & Sandra Paterlini, 2020. "Developing new portfolio strategies by aggregation," Annals of Operations Research, Springer, vol. 292(2), pages 933-971, September.
  79. Zhu, Bo & Zhang, Tianlun, 2021. "Long-term wealth growth portfolio allocation under parameter uncertainty: A non-conservative robust approach," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  80. Alex Garivaltis, 2018. "Exact Replication of the Best Rebalancing Rule in Hindsight," Papers 1810.02485, arXiv.org, revised Mar 2019.
  81. Brégère, Margaux & Huard, Malo, 2022. "Online hierarchical forecasting for power consumption data," International Journal of Forecasting, Elsevier, vol. 38(1), pages 339-351.
  82. Andrew E. B. Lim & J. George Shanthikumar & Gah-Yi Vahn, 2012. "Robust Portfolio Choice with Learning in the Framework of Regret: Single-Period Case," Management Science, INFORMS, vol. 58(9), pages 1732-1746, September.
  83. Schroeder, Pascal & Kacem, Imed, 2020. "Competitive difference analysis of the cash management problem with uncertain demands," European Journal of Operational Research, Elsevier, vol. 283(3), pages 1183-1192.
  84. Napat Rujeerapaiboon & Daniel Kuhn & Wolfram Wiesemann, 2016. "Robust Growth-Optimal Portfolios," Management Science, INFORMS, vol. 62(7), pages 2090-2109, July.
  85. Alex Garivaltis, 2019. "A Note on Universal Bilinear Portfolios," Papers 1907.09704, arXiv.org, revised Oct 2022.
  86. Alex Garivaltis, 2021. "A Note on Universal Bilinear Portfolios," IJFS, MDPI, vol. 9(1), pages 1-17, February.
  87. Sato, Ryosuke & Miyabe, Kenshi & Takemura, Akimichi, 2018. "Relation between the rate of convergence of strong law of large numbers and the rate of concentration of Bayesian prior in game-theoretic probability," Stochastic Processes and their Applications, Elsevier, vol. 128(5), pages 1466-1484.
  88. Tatsiana Levina & Yuri Levin & Jeff McGill & Mikhail Nediak, 2009. "Dynamic Pricing with Online Learning and Strategic Consumers: An Application of the Aggregating Algorithm," Operations Research, INFORMS, vol. 57(2), pages 327-341, April.
  89. Shuo Sun & Rundong Wang & Bo An, 2021. "Reinforcement Learning for Quantitative Trading," Papers 2109.13851, arXiv.org.
  90. Taras Bodnar & Dmytro Ivasiuk & Nestor Parolya & Wofgang Schmid, 2018. "Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios," Papers 1806.08005, arXiv.org, revised May 2019.
  91. Freund, Yoav & Schapire, Robert E., 1999. "Adaptive Game Playing Using Multiplicative Weights," Games and Economic Behavior, Elsevier, vol. 29(1-2), pages 79-103, October.
  92. Alex Garivaltis, 2018. "Multilinear Superhedging of Lookback Options," Papers 1810.02447, arXiv.org, revised Oct 2022.
  93. R'emi J'ez'equel & Dmitrii M. Ostrovskii & Pierre Gaillard, 2022. "Efficient and Near-Optimal Online Portfolio Selection," Papers 2209.13932, arXiv.org.
  94. Miquel Noguer i Alonso & Sonam Srivastava, 2020. "Deep Reinforcement Learning for Asset Allocation in US Equities," Papers 2010.04404, arXiv.org.
  95. Trindade, Marco A.S. & Floquet, Sergio & Filho, Lourival M. Silva, 2020. "Portfolio theory, information theory and Tsallis statistics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
  96. Bin Li & Steven C. H. Hoi, 2012. "On-Line Portfolio Selection with Moving Average Reversion," Papers 1206.4626, arXiv.org.
  97. Chu, Gang & Zhang, Wei & Sun, Guofeng & Zhang, Xiaotao, 2019. "A new online portfolio selection algorithm based on Kalman Filter and anti-correlation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  98. Steven Campbell & Qien Song & Ting-Kam Leonard Wong, 2024. "Macroscopic properties of equity markets: stylized facts and portfolio performance," Papers 2409.10859, arXiv.org, revised Oct 2024.
  99. Esther Mohr & Robert Dochow, 2017. "Risk management strategies for finding universal portfolios," Annals of Operations Research, Springer, vol. 256(1), pages 129-147, September.
  100. Alexander Vervuurt, 2015. "Topics in Stochastic Portfolio Theory," Papers 1504.02988, arXiv.org.
  101. Thorsten Hens & Terje Lensberg & Klaus Schenk-Hoppé & Peter Wöhrmann, 2011. "An evolutionary explanation of the value premium puzzle," Journal of Evolutionary Economics, Springer, vol. 21(5), pages 803-815, December.
  102. Dokuchaev, Nikolai G. & Savkin, Andrey V., 2002. "A bounded risk strategy for a market with non-observable parameters," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 243-254, April.
  103. 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.
  104. Jarrod Wilcox, 0. "Better portfolios with higher moments," Journal of Asset Management, Palgrave Macmillan, vol. 0, pages 1-12.
  105. Malo Huard & Rémy Garnier & Gilles Stoltz, 2020. "Hierarchical robust aggregation of sales forecasts at aggregated levels in e-commerce, based on exponential smoothing and Holt's linear trend method," Working Papers hal-02794320, HAL.
  106. Luo Yong & Zhu Bo & Tang Yong, 2015. "Dynamic optimal capital growth of diversified investment," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(3), pages 577-588, March.
  107. Yong Zhang & Hong Lin & Lina Zheng & Xingyu Yang, 2022. "Adaptive online portfolio strategy based on exponential gradient updates," Journal of Combinatorial Optimization, Springer, vol. 43(3), pages 672-696, April.
  108. Alex Garivaltis, 2018. "Super-Replication of the Best Pairs Trade in Hindsight," Papers 1810.02444, arXiv.org, revised Oct 2022.
  109. David Itkin & Martin Larsson, 2022. "Robust asymptotic growth in stochastic portfolio theory under long‐only constraints," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 114-171, January.
  110. Kumon, Masayuki & Takemura, Akimichi & Takeuchi, Kei, 2011. "Sequential optimizing strategy in multi-dimensional bounded forecasting games," Stochastic Processes and their Applications, Elsevier, vol. 121(1), pages 155-183, January.
  111. Davis, Mark & Lleo, Sébastien, 2020. "Debiased expert forecasts in continuous-time asset allocation," Journal of Banking & Finance, Elsevier, vol. 113(C).
  112. Man Yiu Tsang & Tony Sit & Hoi Ying Wong, 2022. "Adaptive Robust Online Portfolio Selection," Papers 2206.01064, arXiv.org.
  113. 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.
  114. Renata Rendek, 2013. "Modeling Diversified Equity Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2013, January-A.
  115. Dmitry B. Rokhlin, 2020. "Relative utility bounds for empirically optimal portfolios," Papers 2006.05204, arXiv.org.
  116. Yizun Lin & Yangyu Zhang & Zhao-Rong Lai & Cheng Li, 2024. "Autonomous Sparse Mean-CVaR Portfolio Optimization," Papers 2405.08047, arXiv.org.
  117. Chung-En Tsai & Hao-Chung Cheng & Yen-Huan Li, 2022. "Online Self-Concordant and Relatively Smooth Minimization, With Applications to Online Portfolio Selection and Learning Quantum States," Papers 2210.00997, arXiv.org, revised Sep 2023.
  118. Luo, Yong & Zhu, Bo & Tang, Yong, 2014. "Simulated annealing algorithm for optimal capital growth," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 408(C), pages 10-18.
  119. Alex Garivaltis, 2022. "Rational pricing of leveraged ETF expense ratios," Annals of Finance, Springer, vol. 18(3), pages 393-418, September.
  120. J. D. M. Yamim & C. C. H. Borges & R. F. Neto, 2023. "Portfolio Optimization Via Online Gradient Descent and Risk Control," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 361-381, June.
  121. 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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