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Regret Bounds for Online Portfolio Selection with a Cardinality Constraint.
Shinji Ito
Daisuke Hatano
Hanna Sumita
Akihiro Yabe
Takuro Fukunaga
Naonori Kakimura
Ken-ichi Kawarabayashi
Published in:
NeurIPS (2018)
Keyphrases
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portfolio selection
cardinality constraints
online learning
regret bounds
online convex optimization
training set
financial markets
robust optimization
lower bound
state space
simulated annealing
convergence rate
multiple objectives