Related papers: Fast Universalization of Investment Strategies wit…

In financial investing, universal portfolios are a means of constructing portfolios which guarantee a certain level of performance relative to a baseline, while making no statistical assumptions about the future market data. They fall under…

We provide a simple and straightforward approach to a continuous-time version of Cover's universal portfolio strategies within the model-free context of F\"ollmer's pathwise It\^o calculus. We establish the existence of the universal…

We present a universal algorithm for online trading in Stock Market which performs asymptotically at least as good as any stationary trading strategy that computes the investment at each step using a fixed function of the side information…

We propose a universal end-to-end framework for portfolio optimization where asset distributions are directly obtained. The designed framework circumvents the traditional forecasting step and avoids the estimation of the covariance matrix,…

In the context of investment analysis, we formulate an abstract online computing problem called a planning game and develop general tools for solving such a game. We then use the tools to investigate a practical buy-and-hold trading problem…

A constant rebalanced portfolio is an asset allocation algorithm which keeps the same distribution of wealth among a set of assets along a period of time. Recently, there has been work on on-line portfolio selection algorithms which are…

In the online portfolio optimization framework, existing learning algorithms generate strategies that yield significantly poorer cumulative wealth compared to the best constant rebalancing portfolio in hindsight, despite being consistent in…

This paper investigates the problem of ensembling multiple strategies for sequential portfolios to outperform individual strategies in terms of long-term wealth. Due to the uncertainty of strategies' performances in the future market, which…

Individual investors are now massively using online brokers to trade stocks with convenient interfaces and low fees, albeit losing the advice and personalization traditionally provided by full-service brokers. We frame the problem faced by…

We discuss algorithms for combining sequential prediction strategies, a task which can be viewed as a natural generalisation of the concept of universal coding. We describe a graphical language based on Hidden Markov Models for defining…

Consider a family of portfolio strategies with the aim of achieving the asymptotic growth rate of the best one. The idea behind Cover's universal portfolio is to build a wealth-weighted average which can be viewed as a buy-and-hold…

Algorithms often have tunable parameters that impact performance metrics such as runtime and solution quality. For many algorithms used in practice, no parameter settings admit meaningful worst-case bounds, so the parameters are made…

This work initiates research into the problem of determining an optimal investment strategy for investors with different attitudes towards the trade-offs of risk and profit. The probability distribution of the return values of the stocks…

We consider online learning of ensembles of portfolio selection algorithms and aim to regularize risk by encouraging diversification with respect to a predefined risk-driven grouping of stocks. Our procedure uses online convex optimization…

We propose a new globalization strategy that can be used in unconstrained optimization algorithms to support rapid convergence from remote starting points. Our approach is based on using multiple points at each iteration to build a…

Cover's celebrated theorem states that the long run yield of a properly chosen "universal" portfolio is as good as the long run yield of the best retrospectively chosen constant rebalanced portfolio. The "universality" pertains to the fact…

Recently, reinforcement learning has achieved remarkable results in various domains, including robotics, games, natural language processing, and finance. In the financial domain, this approach has been applied to tasks such as portfolio…

With the improvement of computer performance and the development of GPU-accelerated technology, trading with machine learning algorithms has attracted the attention of many researchers and practitioners. In this research, we propose a novel…

We introduce a unified framework for rapid, large-scale portfolio optimization that incorporates both shrinkage and regularization techniques. This framework addresses multiple objectives, including minimum variance, mean-variance, and the…

This paper aims to develop new mathematical and computational tools for modeling the distribution of portfolio returns across portfolios. We establish relevant mathematical formulas and propose efficient algorithms, drawing upon powerful…