On-Line Portfolio Selection Using Multiplicative Updates

@inproceedings{Helmbold1996OnLinePS,
  title={On-Line Portfolio Selection Using Multiplicative Updates},
  author={D. Helmbold and R. Schapire and Y. Singer and Manfred K. Warmuth},
  booktitle={ICML},
  year={1996}
}
  • D. Helmbold, R. Schapire, +1 author Manfred K. Warmuth
  • Published in ICML 1996
  • Computer Science, Economics
  • We present an on-line investment algorithm that achieves almost the same wealth as the best constant-rebalanced portfolio determined in hindsight from the actual market outcomes. The algorithm employs a multiplicative update rule derived using a framework introduced by Kivinen and Warmuth. Our algorithm is very simple to implement and requires only constant storage and computing time per stock in each trading period. We tested the performance of our algorithm on real stock data from the New… CONTINUE READING
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