Gaussian Weighting Reversion Strategy for Accurate On-Line Portfolio Selection.

Zekun Ye Kai Huang Shuigeng Zhou Jihong Guan

Published in: ICTAI (2017)

Keyphrases

portfolio selection
multistage stochastic
portfolio optimization
portfolio management
financial markets
robust optimization
neural network
multiple objectives
decision making
feature space
multi objective
short term
transaction costs
optimal portfolio