205 search results - page 1 / 41 » Efficient Algorithms for Universal Portfolios |
FOCS
2000
IEEE
13 years 9 months ago
2000
IEEE
A constant rebalanced portfolio is an investment strategy that keeps the same distribution of wealth among a set of stocks from day to day. There has been much work on Cover'...
ECCC
2006
13 years 5 months ago
2006
We introduce a new algorithm and a new analysis technique that is applicable to a variety of online optimization scenarios, including regret minimization for Lipschitz regret func...
ICASSP
2011
IEEE
12 years 9 months ago
2011
IEEE
We consider the sequential portfolio investment problem. Building on results in signal processing, machine learning, and other areas, we use factor graphs to develop new universal...
ICASSP
2008
IEEE
13 years 11 months ago
2008
IEEE
In this paper, we consider online (sequential) portfolio selection in a competitive algorithm framework under transaction costs. We construct a sequential algorithm for portfolio ...
GECCO
2010
Springer
13 years 2 months ago
2010
Springer
Large software companies have to plan their project portfolio to maximize potential portfolio return and strategic alignment, while balancing various preferences, and considering ...