Online portfolio selection : principles and algorithms /: principles and algorithms. (2015)

• Record Type: Book
• Further Information: Note: Bin Li, Steven Chu Hong Hoi.
• Authors: Li, Bin; Hoi, Steven C. H
• Contents: I: INTRODUCTION; ; Introduction; Background; What Is Online Portfolio Selection?; Methodology; Book Overview; ; Problem Formulation; Problem Settings; Transaction Costs and Margin Buying Models; Evaluation; Summary; ; II: Principles; ; Benchmarks; Buy-and-Hold Strategy; Best Stock Strategy; Constant Rebalanced Portfolios; ; Follow the Winner; Universal Portfolios; Exponential Gradient; Follow the Leader; Follow the Regularized Leader; Summary; ; Follow the Loser; Mean Reversion; Anticorrelation; Summary; ; Pattern Matching; Sample Selection Techniques; Portfolio Optimization Techniques; Combinations; Summary; ; Meta-Learning; Aggregating Algorithms; Fast Universalization; Online Gradient and Newton Updates; Follow the Leading History; Summary; ; III: Algorithms; ; Correlation-Driven Nonparametric Learning; Preliminaries; Formulations; Algorithms; Analysis; Summary; ; Passive–Aggressive Mean Reversion; Preliminaries; Formulations; Algorithms; Analysis; Summary; ; Confidence-Weighted Mean Reversion; Preliminaries; Formulations; Algorithms; Analysis; Summary; ; Online Moving Average Reversion; Preliminaries; Formulations; Algorithms; Analysis; Summary; ; IV: Empirical Studies; ; Implementations; The OLPS Platform; Data; Setups; Performance Metrics; Summary; ; Empirical Results; Experiment 1: Evaluation of Cumulative Wealth; Experiment 2: Evaluation of Risk and Risk-Adjusted Return; Experiment 3: Evaluation of Parameter Sensitivity; Experiment 4: Evaluation of Practical Issues; Experiment 5: Evaluation of Computational Time; Experiment 6: Descriptive Analysis of Assets and Portfolios; Summary; ; Threats to Validity; On Model Assumptions; On Mean Reversion Assumptions; On Theoretical Analysis; On Back-Tests; Summary; ; V: Conclusion; ; Conclusions; Future Directions; ; Appendix A: OLPS: A Toolbox for Online Portfolio Selection; Introduction; Framework and Interfaces; Strategies; Summary; ; Appendix B: Proofs and Derivations; Proof of CORN; Derivations of PAMR; Derivations of CWMR; Derivation of OLMAR; ; Appendix C: Supplementary Data and Portfolio Statistics; ; Bibliography; ; Index
• Edition: 1st
• Publisher Details: Boca Raton : CRC Press
• Publication Date: 2015
• Extent: 1 online resource, illustrations (black and white)
• Subjects: 332.6; Portfolio management -- Computer programs; Portfolio management -- Data processing
• Languages: English
• ISBNs: 9781482249644
• Related ISBNs: 9781482249637
• Notes: Note: Description based on CIP data; item not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.