Risk-Adjusted On-line Portfolio Selection

被引：1

作者：

Dochow, Robert ^{[1
]}

Mohr, Esther ^{[2
]}

Schmidt, Guenter ^{[3
]}

机构：

[1] Univ Saarland, Saarbrucken, Germany

[2] Univ Mannheim, Mannheim, Germany

[3] Univ Cape Town, Dept Stat Sci, Cape Town, South Africa

来源：

OPERATIONS RESEARCH PROCEEDINGS 2013 | 2014年

关键词：

D O I：

10.1007/978-3-319-07001-8_16

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

The objective of on-line portfolio selection is to design provably good algorithms with respect to some on-line or offline benchmark. Existing algorithms do not consider 'trading risk'. We present a novel risk-adjusted portfolio selection algorithm (RAPS). RAPS incorporates the 'trading risk' in terms of the maximum possible loss. We show that RAPS performs provably 'as well as' the Universal Portfolio (UP) [4] in the worst-case. We empirically evaluate RAPS on historical NYSE data. Results show that RAPS is able to beat BCRP as well as several 'follow-the-winner' algorithms from the literature, including UP. We conclude that RAPS outperforms in case the assets in the portfolio follow a positive trend.

引用

页码：113 / +

页数：3

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