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Robust Median Reversion Strategy for Online Portfolio Selection.
Dingjiang Huang
Junlong Zhou
Bin Li
Steven C. H. Hoi
Shuigeng Zhou
Published in:
IEEE Trans. Knowl. Data Eng. (2016)
Keyphrases
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portfolio selection
robust optimization
multistage stochastic
portfolio optimization
financial markets
portfolio management
multiple objectives
optimal portfolio
data mining
optimal solution
worst case
non stationary
differential evolution
mathematical programming