Stochastic Nonstationary Optimization for Finding Universal Portfolios.
Alexei A. GaivoronskiFabio StellaPublished in: Ann. Oper. Res. (2000)
Keyphrases
- non stationary
- fractional brownian motion
- stochastic optimization
- markov processes
- adaptive algorithms
- autoregressive
- optimization algorithm
- random fields
- optimization problems
- stock price
- blind source separation
- concept drift
- stochastic programming
- portfolio optimization
- financial time series
- wavelet kernel
- empirical mode decomposition
- optimization methods