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Abstract: We present an on-line investment algorithm which achieves almost the same wealth as the best constant-rebalanced portfolio determined in hindsight from the actual market outcomes. The algorithm employs a multiplicative update rule derived using a framework introduced by Kivinen and Warmuth. Our algorithm is very simple to implement and requires only constant storage and computing time per stock in each trading period. We tested the performance of our algorithm on real stock data from the New... (Update)
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BibTeX entry: (Update)
D. Helmbold, R. Schapire, Y. Singer, and M. Warmuth. On-line portfolio selection using multiplicative updates. Machine Learning: Proceedings of the Thirteenth International Conference, 1996. http://citeseer.ist.psu.edu/article/helmbold98line.html More
@inproceedings{ helmbold96line,
author = "David P. Helmbold and Robert E. Schapire and Yoram Singer and Manfred K. Warmuth",
title = "On-Line Portfolio Selection Using Multiplicative Updates",
booktitle = "International Conference on Machine Learning",
pages = "243-251",
year = "1996",
url = "citeseer.ist.psu.edu/article/helmbold98line.html" }
Citations (may not include all citations):686 Practical methods of optimization (context) - Fletcher - 1987
73 Additive versus exponentiated gradient updates for linear pr.. (context) - Kivinen, Warmuth - 1997
64 and linear threshold learning using Winnow (context) - Littlestone, attributes et al. - 1991
59 Tracking the best expert - Herbster, Warmuth - 1995
55 and other derivatives (context) - Hull, futures - 1997
49 functions on randomly drawn points (context) - Haussler, Littlestone et al. - 1994
36 Mathematical Finance (context) - Cover - 1991
34 Universal portfolios with side information - Cover, Ordentlich - 1996
31 IEEE Transactions on Information Theory (context) - Barron, Cover et al. - 1988
29 Tracking the best disjunction - Auer, Warmuth - 1995
26 A new interpretation of information rate (context) - Kelly - 1956
23 A comparison of new and old algorithms for a mixture estimat.. - Helmbold, Schapire et al. - 1997
22 Worst-case loss bounds for sigmoided linear neurons (context) - Helmbold, Kivinen et al. - 1996
17 Universal portfolios with and without transaction costs - Blum, Kalai - 1997
17 Relative information (context) - Jumarie - 1990
15 Asymptotic optimality and asymptotic equipartition propertie.. (context) - Algoet, Cover - 1988
13 An algorithm for maximizing expected log investment return (context) - Cover - 1984
10 Game-theoretic optimal portfolios (context) - Bell, Cover - 1988
9 Empirical Bayes stock market portfolios (context) - Cover, Gluss - 1986
7 Universal schemes for prediction (context) - Algoet - 1992
5 Competitive optimality of logarithmic investment (context) - Bell, Cover - 1980
3 International Journal of Neural Systems (context) - Singer
The graph only includes citing articles where the year of publication is known.
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