Corpus ID: 2742460

Online Learning of Commission Avoidant Portfolio Ensembles

  title={Online Learning of Commission Avoidant Portfolio Ensembles},
  author={Guy Uziel and Ran El-Yaniv},
We present a novel online ensemble learning strategy for portfolio selection. The new strategy controls and exploits any set of commission-oblivious portfolio selection algorithms. The strategy handles transaction costs using a novel commission avoidance mechanism. We prove a logarithmic regret bound for our strategy with respect to optimal mixtures of the base algorithms. Numerical examples validate the viability of our method and show significant improvement over the state-of-the-art. 
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  • S. Kozat, A. Singer
  • Computer Science
  • 2008 IEEE International Conference on Acoustics, Speech and Signal Processing
  • 2008
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