On Data-Driven Log-Optimal Portfolio: A Sliding Window Approach.

Pei-Ting Wang Chung-Han Hsieh

Published in: CoRR (2022)

Keyphrases

sliding window
data driven
optimal portfolio
portfolio selection
data streams
fixed size
streaming data
window size
expected utility
stream data
limited memory
utility function
decision theoretic
continuous queries
linear programming
variable size
window sizes
decision making