Confidence Weighted Mean Reversion Strategy for On-Line Portfolio Selection.

Bin Li Steven C. H. Hoi Peilin Zhao Vivekanand Gopalkrishnan

Published in: AISTATS (2011)

Keyphrases

portfolio selection
multistage stochastic
financial markets
portfolio optimization
multiple objectives
portfolio management
artificial intelligence
robust optimization
optimal strategy
neural network
support vector
dynamic programming
kernel methods
optimal portfolio