Gaussian Weighting Reversion Strategy for Accurate Online Portfolio Selection.

Xia Cai Zekun Ye

Published in: IEEE Trans. Signal Process. (2019)

Keyphrases

portfolio selection
multistage stochastic
portfolio optimization
portfolio management
robust optimization
financial markets
multiple objectives
maximum likelihood
transaction costs
neural network
passive aggressive
genetic algorithm
multi objective
probability distribution
linear programming
optimal portfolio