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Learning zero-cost portfolio selection with pattern matching
We replicate and extend the adversarial expert based learning approach of Györfi et al to the situation of zero-cost portfolio selection implemented with a quadratic approximation derived from the mutual fund separation theorems. The algorithm is applied to daily sampled sequential Open-High-Low-Clo...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2018
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6155486/ https://www.ncbi.nlm.nih.gov/pubmed/30252838 http://dx.doi.org/10.1371/journal.pone.0202788 |