Empirical Bayes stock market portfolios
Advances in Applied Mathematics
Portfolio selection with transaction costs
Mathematics of Operations Research
COLT '90 Proceedings of the third annual workshop on Computational learning theory
Dynamic programming algorithm optimization for spoken word recognition
Readings in speech recognition
Elements of information theory
Elements of information theory
The Kelly criterion and the stock market
American Mathematical Monthly
Growth versus security in dynamic investment analysis
Management Science - Focused issue on financial modeling
A Comparison of New and Old Algorithms for a Mixture EstimationProblem
Machine Learning - Special issue on the eighth annual conference on computational learning theory, (COLT '95)
Derandomizing stochastic prediction strategies
COLT '97 Proceedings of the tenth annual conference on Computational learning theory
Competitive solutions for online financial problems
ACM Computing Surveys (CSUR)
COLT' 98 Proceedings of the eleventh annual conference on Computational learning theory
Machine Learning - Special issue on context sensitivity and concept drift
The Cost of Achieving the Best Portfolio in Hindsight
Mathematics of Operations Research
Universal Portfolios With and Without Transaction Costs
Machine Learning - Special issue: computational learning theory, COLT '97
Derandomizing Stochastic Prediction Strategies
Machine Learning - Special issue: computational learning theory, COLT '97
Stock Trading System Using Reinforcement Learning with Cooperative Agents
ICML '02 Proceedings of the Nineteenth International Conference on Machine Learning
Fast Universalization of Investment Strategies with Provably Good Relative Returns
ICALP '02 Proceedings of the 29th International Colloquium on Automata, Languages and Programming
On the Competitive Theory and Practice of Portfolio Selection (Extended Abstract)
LATIN '00 Proceedings of the 4th Latin American Symposium on Theoretical Informatics
Universal data compression and portfolio selection
FOCS '96 Proceedings of the 37th Annual Symposium on Foundations of Computer Science
Universal investment and universal data compression
Universal investment and universal data compression
Efficient algorithms for universal portfolios
The Journal of Machine Learning Research
Convex Optimization
EDDIE-automation, a decision support tool for financial forecasting
Decision Support Systems - Special issue: Data mining for financial decision making
Fast Universalization of Investment Strategies
SIAM Journal on Computing
Internal Regret in On-Line Portfolio Selection
Machine Learning
Prediction, Learning, and Games
Prediction, Learning, and Games
Algorithms for portfolio management based on the Newton method
ICML '06 Proceedings of the 23rd international conference on Machine learning
Efficient algorithms for online convex optimization and their applications
Efficient algorithms for online convex optimization and their applications
Online Passive-Aggressive Algorithms
The Journal of Machine Learning Research
Exact indexing of dynamic time warping
VLDB '02 Proceedings of the 28th international conference on Very Large Data Bases
Logarithmic regret algorithms for online convex optimization
Machine Learning
From External to Internal Regret
The Journal of Machine Learning Research
Confidence-weighted linear classification
Proceedings of the 25th international conference on Machine learning
Efficient projections onto the l1-ball for learning in high dimensions
Proceedings of the 25th international conference on Machine learning
Growth Optimal Investment with Transaction Costs
ALT '08 Proceedings of the 19th international conference on Algorithmic Learning Theory
Financial time series forecasting using independent component analysis and support vector regression
Decision Support Systems
Efficient learning algorithms for changing environments
ICML '09 Proceedings of the 26th Annual International Conference on Machine Learning
Can we learn to beat the best stock
Journal of Artificial Intelligence Research
IEEE Transactions on Signal Processing
Multi-class confidence weighted algorithms
EMNLP '09 Proceedings of the 2009 Conference on Empirical Methods in Natural Language Processing: Volume 2 - Volume 2
Multi-domain learning by confidence-weighted parameter combination
Machine Learning
Universal randomized switching
IEEE Transactions on Signal Processing
Prediction in financial markets: The case for small disjuncts
ACM Transactions on Intelligent Systems and Technology (TIST)
A learning-based contrarian trading strategy via a dual-classifier model
ACM Transactions on Intelligent Systems and Technology (TIST)
CORN: Correlation-driven nonparametric learning approach for portfolio selection
ACM Transactions on Intelligent Systems and Technology (TIST)
Neuro-genetic system for stock index prediction
Journal of Intelligent & Fuzzy Systems: Applications in Engineering and Technology - Evolutionary neural networks for practical applications
Meta optimization and its application to portfolio selection
Proceedings of the 17th ACM SIGKDD international conference on Knowledge discovery and data mining
Continuous-Time Markowitz's Model with Transaction Costs
SIAM Journal on Financial Mathematics
Logarithmic regret algorithms for online convex optimization
COLT'06 Proceedings of the 19th annual conference on Learning Theory
Universal portfolios with side information
IEEE Transactions on Information Theory
IEEE Transactions on Information Theory
Growth optimal investment in horse race markets with costs
IEEE Transactions on Information Theory
A universal data compression system
IEEE Transactions on Information Theory
Universal prediction of individual sequences
IEEE Transactions on Information Theory
A bound on the financial value of information
IEEE Transactions on Information Theory - Part 1
Computational learning techniques for intraday FX trading using popular technical indicators
IEEE Transactions on Neural Networks
Learning to trade via direct reinforcement
IEEE Transactions on Neural Networks
Support vector machine with adaptive parameters in financial time series forecasting
IEEE Transactions on Neural Networks
ALT'12 Proceedings of the 23rd international conference on Algorithmic Learning Theory
Confidence Weighted Mean Reversion Strategy for Online Portfolio Selection
ACM Transactions on Knowledge Discovery from Data (TKDD)
Robust median reversion strategy for on-line portfolio selection
IJCAI'13 Proceedings of the Twenty-Third international joint conference on Artificial Intelligence
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Online portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intelligence, machine learning, and data mining. This article aims to provide a comprehensive survey and a structural understanding of online portfolio selection techniques published in the literature. From an online machine learning perspective, we first formulate online portfolio selection as a sequential decision problem, and then we survey a variety of state-of-the-art approaches, which are grouped into several major categories, including benchmarks, Follow-the-Winner approaches, Follow-the-Loser approaches, Pattern-Matching--based approaches, and Meta-Learning Algorithms. In addition to the problem formulation and related algorithms, we also discuss the relationship of these algorithms with the capital growth theory so as to better understand the similarities and differences of their underlying trading ideas. This article aims to provide a timely and comprehensive survey for both machine learning and data mining researchers in academia and quantitative portfolio managers in the financial industry to help them understand the state of the art and facilitate their research and practical applications. We also discuss some open issues and evaluate some emerging new trends for future research.